The Time-varying Impact of Covid-19 Pandemic on Cryptocurrency: Evidence from VAR and AEMA-GARCH models

Abstract

To represent the relationship between cryptocurrency market and the Covid-19 pandemic, this paper chose the closing price of BTC and ETH and daily new confirmed cases in China, America, and the global to build VAR and ARMA-GARCH models. After missing data dropped, this paper collected data from Jan 24th, 2021 to Feb 24th, 2022, and there are totally 757 samples in these 2 models. ADF test was used to test the time-series variables’ stability. This paper used HQIC, PACF and ACF to identify VAR, AR and MA order, respectively. Empirical results found that the pandemic had a negative effect on the yield of BTC and ETH. This paper found that the effect of the pandemic in China and America was similar but different from that of global in the long term.