To What Extent Did the Ftx Collapse Destabilize the Crypto Market? A High Frequency Volatility Study

This study examines the intraday volatility connectedness between the FTT token and the major cryptocurrencies surrounding the FTX bankruptcy. Intraday hourly volatility time series are estimated by using a mcGARCH model and then applied to provide network connectedness measures via the TVP-VAR model. Our results suggest that FTX's bankruptcy has increased the overall intraday volatility in the crypto markets. We reveal that stablecoins are the most affected tokens after the FTX collapse. FTT plays a key role as the main net contributor to the system, whereas USD Coin is shown to be a net receiver from the system