We examine intraday volatility connectedness of the Silvergate’s equity, a major crypto bank, and eight of the main existing cryptocurrencies using data surrounding the collapse of the bank, from 10:00 UTC + 1 on January 3 to 13:00 UTC + 1 on March 13, 2023. To that purpose, we first estimate intraday hourly volatility time series by applying a mcGARCH model which are then used to provide network connectedness measures via a TVP-VAR model. Thus, our findings revolve around five key ideas. (1) This study suggests that cryptomarket usual uncertainty contributes to Silvergate's collapse, (2) rather than the other way around. (3) The study also highlights the complex interconnectedness of cryptocurrencies during market stress and (4) the linkages between leading cryptocurrencies that contributed to the Silvergate crash. (5) Finally, conventional and green cryptocurrencies are shown to provide the highest net impact on overall volatility connectedness.

我们使用围绕银行倒闭的数据，从 1 月 3 日 10:00 UTC + 1 到 3 月 13:00 UTC + 1，检查了 Silvergate 股票、一家主要加密货币银行和八种主要现有加密货币的日内波动性关联性。 2023 年 10 月 13 日。为此，我们首先通过应用 mcGARCH 模型来估计日内每小时波动时间序列，然后使用该模型通过 TVP-VAR 模型提供网络连通性度量。因此，我们的研究结果围绕五个关键想法。(1) 这项研究表明，加密市场通常的不确定性导致了 Silvergate 的崩溃，(2) 而不是相反。(3) 该研究还强调了市场压力下加密货币之间复杂的相互关联性，以及 (4) 导致 Silvergate 崩盘的主要加密货币之间的联系。(5) 最后，传统和绿色加密货币对整体波动性连通性的净影响最大。