Is there any correlation between digital currency and commodity price fluctuation? Based on the DCC-GARCH Models

This study examined the relationships between commodity prices and cryptocurrencies. For this purpose, weekly gold and bitcoin by using multivariate GARCH models and causality and cointegration analyzes were used over the weekly data from January ۲۰۱۵ to May ۲۰۲۳. The main purpose of the study is to examine the conditional and unconditional correlation between gold and bitcoin. According to the results of the cointegration test, there is a long-term relationship between returns but no long-term relationship between prices. Results of The DCC and CCC models reveals that the relationship between gold and bitcoin is weakly positive. These results show that there is no strong relationship between the two assets and that the movements in returns are largely independent of each other. The results show that the returns and prices of gold and bitcoin can be affected by various factors over time, which can change the correlation.