Co-movements Between Bitcoin and Gold: Multivariate BEKK-GARCH Models

This study examined the Co-movements between gold and Bitcoin using weekly data between January 4, 2015, and May 21, 2023. Multivariate-GARCH models and the ARDL Bounds test for long-run relationships, as well as Johansen cointegration and two-stage Engle-Granger tests, were extensively used in the study. The study’s main objective is to investigate the “spillover effect” and “Co-movements” between the two variables. According to the model BEKK-GARCH, the analyses have shown that there is an interaction involving only the transmission of past cross-shocks from gold to Bitcoin, which is unilateral. The results of the BEKK-GARCH model show that there is no spillover effect between gold and Bitcoin. According to the results of the cointegration test, there is a long-run relationship between returns but no long-run relationship between prices. The DCC and CCC models show that the relationship between gold and bitcoin is only weakly positive. These results suggest that there is no strong relationship between the two assets and that the return movements are largely independent of each other. The results show that gold and Bitcoin returns and prices can be affected by different factors over time, which can change the correlation.