The return and volatility spillovers among decentralized finance (DeFi) assets

This study investigates the interconnectedness, returns, and volatility spillovers among Non-Fungible Tokens (NFTs), cryptocurrencies, and FinTech Exchange-Traded Funds (ETFs), employing advanced econometric frameworks TVP-VAR, GARCH-ARMA, and EGARCH-ARMA to address gaps in understanding these emerging digital assets. This work integrates these advanced models and obtains new insights into dynamic relationships connected with asymmetric risk and responsive behaviors during the crisis. The findings reveal that NFTs and cryptocurrencies exhibit higher returns and greater volatility than FinTech ETFs, making them high-risk and high-reward investments. Dynamic spillover analysis identifies moderate connectedness, with cryptocurrencies dominating volatility transmission and NFTs driving return spillovers, while FinTech ETFs act as stabilizers. Crucially, the EGARCH–ARMA framework uncovers distinct leverage effects in NFTs and cryptocurrencies, where adverse shocks amplify volatility more than positive ones. During the COVID-19 pandemic, total connectedness underscores their sensitivity to external shocks. This study holistically analyzes these asset classes, offering actionable strategies for portfolio diversification, active risk management, and crisis mitigation in digital financial markets.