On a univariate setting, this study aims to: (a) model the volatility of Bitcoin, Dash, Monero, and Stellar, (b) check the eventual existence of structural breaks in their volatility, and (c) investigate the interconnection amid the cryptocurrency volatilities, the US equity and bond markets’ volatility, and the COVID-19 impacts. To accomplish these objectives, we adopt a comparative approach to select the GARCH model, use Inclán and Tiao’s (1994) Iterated Cumulative Sums of Squares (ICSS) algorithm, and then estimate a Simultaneous Equation Model (SEM), respectively. We find convincing evidence of the existence of return-volatility spillovers amid Bitcoin, Dash, and Stellar, and the role of Monero as the principal transmitter of shocks. We also observe a nexus of the cryptocurrency market with the US energy market but do not see any connectivity with the US bond market. Furthermore, we suggest that the observed period of high financial uncertainty, low economic sentiment, and the pandemic-led problems in the US energy market exert significant impact on the prices of Bitcoin, Dash, and Stellar, mainly receiving short-lived shocks. The findings of this paper have implications for fund managers and policymakers to ensure a right timing of their intervention and minimize risks during uncertainties in the wake of the Black Swan events, such as the COVID-19, the Russia-Ukraine conflict, etc.

在单变量环境中，本研究旨在：(a) 对比特币、达世币、门罗币和恒星币的波动性进行建模，(b) 检查其波动性最终是否存在结构性中断，以及 (c) 研究加密货币之间的相互关联波动性、美国股票和债券市场的波动性以及 COVID-19 的影响。为了实现这些目标，我们采用比较方法来选择 GARCH 模型，使用 Inclán 和 Tiao (1994) 的迭代累积平方和 (ICSS) 算法，然后分别估计联立方程模型 (SEM)。我们找到了令人信服的证据，证明比特币、达世币和恒星币之间存在回报波动性溢出效应，以及门罗币作为冲击主要传导者的作用。我们还观察到加密货币市场与美国能源市场的联系，但没有看到与美国债券市场的任何联系。此外，我们认为，观察到的金融高度不确定性、低迷的经济情绪以及美国能源市场大流行引发的问题对比特币、达世币和恒星币的价格产生了重大影响，主要受到短暂的冲击。本文的研究结果对于基金经理和政策制定者确保正确的干预时机并最大程度地减少黑天鹅事件（例如 COVID-19、俄罗斯-乌克兰冲突等）带来的不确定性期间的风险具有重要意义。美国能源市场疫情引发的问题对比特币、达世币、Stellar价格影响较大，主要受到短暂冲击。本文的研究结果对于基金经理和政策制定者确保正确的干预时机并最大程度地减少黑天鹅事件（例如 COVID-19、俄罗斯-乌克兰冲突等）带来的不确定性期间的风险具有重要意义。美国能源市场疫情引发的问题对比特币、达世币、Stellar价格影响较大，主要受到短暂冲击。本文的研究结果对于基金经理和政策制定者确保正确的干预时机并最大程度地减少黑天鹅事件（例如 COVID-19、俄罗斯-乌克兰冲突等）带来的不确定性期间的风险具有重要意义。