Analysis of Bitcoin and Ethereum Volatility on the S&P 500 Index, Crude Oil Prices, and Gold Prices Using the M-GARCH Model

Azmira, Aulia (2025) Analysis of Bitcoin and Ethereum Volatility on the S&P 500 Index, Crude Oil Prices, and Gold Prices Using the M-GARCH Model. S1 thesis, Universitas Andalas.

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Abstract

This study analyzes the volatility relationship between Bitcoin, Ethereum, and traditional financial assets, namely the S&P 500 Index, crude oil prices, and gold prices, using the Multivariate GARCH (M-GARCH) model. The data consist of weekly returns from January 2020 to December 2024, collected from secondary sources such as www.investing.com and www.coinmarketcap.com. The analysis was conducted using EViews 13 to estimate the dynamic interactions and volatility spillovers across the selected assets. The results show that Bitcoin has significant volatility connections with the S&P 500 and gold, but not with crude oil. In contrast, Ethereum shows weaker and mostly insignificant relationships with these traditional assets, meaning its volatility is more influenced by crypto-specific factors than by global market movements.

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