Shakeri, Behrouz, Beytari, Artin, Ghorbanian, Mohammadreza, Javadi, Rouhollah. (1401). Evaluation of the association between cryptocurrencies with oil and gold prices using the BEKK multivariate GARCH model. هنرهای کاربردی, 14(1), 2061-2078. doi: 10.22075/ijnaa.2022.27155.3523
Behrouz Shakeri; Artin Beytari; Mohammadreza Ghorbanian; Rouhollah Javadi. "Evaluation of the association between cryptocurrencies with oil and gold prices using the BEKK multivariate GARCH model". هنرهای کاربردی, 14, 1, 1401, 2061-2078. doi: 10.22075/ijnaa.2022.27155.3523
Shakeri, Behrouz, Beytari, Artin, Ghorbanian, Mohammadreza, Javadi, Rouhollah. (1401). 'Evaluation of the association between cryptocurrencies with oil and gold prices using the BEKK multivariate GARCH model', هنرهای کاربردی, 14(1), pp. 2061-2078. doi: 10.22075/ijnaa.2022.27155.3523
Shakeri, Behrouz, Beytari, Artin, Ghorbanian, Mohammadreza, Javadi, Rouhollah. Evaluation of the association between cryptocurrencies with oil and gold prices using the BEKK multivariate GARCH model. هنرهای کاربردی, 1401; 14(1): 2061-2078. doi: 10.22075/ijnaa.2022.27155.3523

Evaluation of the association between cryptocurrencies with oil and gold prices using the BEKK multivariate GARCH model

International Journal of Nonlinear Analysis and Applications
مقاله 162، دوره 14، شماره 1، فروردین 2023، صفحه 2061-2078    اصل مقاله (455.8 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22075/ijnaa.2022.27155.3523
نویسندگان
Behrouz Shakeri1؛ Artin Beytari* 2؛ Mohammadreza Ghorbanian2؛ Rouhollah Javadi3
1Department of Humanities, Shahr-e-Qods Branch, Islamic Azad University, Tehran, Iran
2Department of Accounting, Shahr-e-Qods Branch, Islamic Azad University, Tehran, Iran
3Department of Accounting, Payame Noor University, Tehran, Iran
چکیده
Due to the emergence of cryptocurrencies in the world, many people save their capital and assets like cryptocurrencies. Cryptocurrencies are associated with prices of gold and oil, and stock market indices. On this basis, the present study aimed to evaluate the association between cryptocurrencies with oil and gold prices. To this end, the study performed an evaluation using the BEKK multivariate GARCH method. Therefore, two regression models were estimated to evaluate the association between cryptocurrencies and oil and gold prices. Based on the results, the mutual relationship between cryptocurrency volatility and gold and oil prices was confirmed. In general, volatility in oil and gold prices has a positive effect on cryptocurrency volatility. Given that volatility in oil and gold prices has a positive effect on cryptocurrency volatility, and these effects will be more manifested in future periods, cryptocurrency investors are recommended to examine oil and gold prices, especially oil prices in the last 10 years, before purchasing cryptocurrencies.
کلیدواژه‌ها
cryptocurrencies؛ oil price؛ gold price؛ multivariate GARCH model
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