The Contagion of Turbulence Systemic Risk between Real and Virtual Currency Fluctuations with CCC Approach

The present study has investigated the contagious of turbulence systemic risk. In this study, the contagious effect of real and virtual currency (Bitcoin) fluctuations has been measured. In this regard, the method of self-regression vector analysis (VAR) and the conditional autoregressive model on the heterogeneity of multivariate generalized variances (MGARCH) have been used.The data used in this study, including the exchange rate of the dollar based on the euro and the price of bitcoin in the period 01/2015 and 2020/01, these data were collected and examined and analyzed by regarding the approach of the generalized multivariate conditional variance heterogeneity (CCC) method.The present study is based on the classification of research considering the, nature and direction, respectively descriptive survey, applied and post-event. The results of this study confirm the relationship between the contagins of volatility of real currency and virtual currency. In other words, the main hypothesis of the research based on the contagion of virtual and real exchange rate fluctuations has been confirmed unilaterally from virtual exchange rate to real exchange rate.