Explanation of the dynamic model of the comprehensive risk spillover of cryptocurrencies to real currencies

The purpose of this article is to provide dynamic model to explain how the pervasive risk of cryptocurrencies spills over into real currencies. In this regard, the daily yield information of the studied currencies for the time period (2015/01-2021/01) has been used. the statistical data of the currencies with the exchange rate of the (Euro, Lira, Yuan, Pound) to the dollar and Bitcoin, Ripple, Ethereum، Litecoin and Ethereum classic. In the first part of this study, using the information collected in the mentioned time period for the studied currencies, the comprehensive risk measure of the variables has been calculated using the ΔcoVaR index. In the second part, using multivariate conditional heterogeneous autocorrelation method (M-GARCH), the external effects related to the pervasive risk of cryptocurrencies on real currencies were estimated. The results obtained from the estimation of ΔcoVaR indicate that cryptocurrencies and real currencies have systemic risk and cryptocurrencies have a lower overall risk index than real currencies. Also, by estimating the conditional correlation model as the optimal model, it was shown that there was a transfer of risk between cryptocurrencies and real currencies, and the severity of pervasive risk contagion between currencies with higher trading volume is higher than currencies with lower trading volume.