Granger causality analysis on five main cryptocurrencies, oil and gold markets

This paper analyses the Granger causality test between the five crypto currency with largest market cap (BTC, ETH,XRP, BNB, ADA) and oil-gold markets by using F-test , Chi square-test, Likelihood ratio test for research the relationship between them, also implement ARMA-GARCH models to find which model is most effective for forecasting future returns. Our findings verify the existence of relation between time series of the five cryptocurrency and oil-gold markets. Furthermore, the results imply the following:1) Bitcoin has the most impact on other time series and can be used for predicting future returns of other asset except BNB 2) ARMA-GARCH model are best fitted model for our all seven asset 3) No time series can predict the future return of Bitcoin and XRP is most influenced of Granger causality. It should be noted that, these are the preliminary results. In the future, we will use the Markov switching time varying copula method to construct joint distribution of time series and compute covars for calculate risk spillover among the named assets. The data used in this article are the price returns of the listed assets from April 26, 2017 to July 15, 2021.