CRYPTOCURRENCY VOLATILITY: BEFORE, DURING AND AFTER COVID-19

The World Health Organization (WHO) announced the Covid-19 pandemic in March 2020, which had a negative impact on economic activities and financial markets. Cryptocurrencies with blockchain technology, whose history is not old, took off in the Covid-19 period thanks to digital transformation and became popular in the financial markets. However, the fact that cryptocurrencies lose blood after the pandemic period. This study examines the volatility of cryptocurrencies before, during and after the pandemic Covid-19 using data from 4 cryptocurrencies (Bitcoin, Ethereum, Binance and Litecoin) and the CCI30 index, using autoregressive conditional variance models with two dummy variables. According to the results, the volatility of cryptocurrencies decreases throughout the pandemic period, moreover, decreases more after the pandemic compared to the pre-pandemic period. Investors should be cautious about investing in these risky instruments, which may become popular again in the future, just in case.