The Volatility Spillover in Metaverse Token Market: TVP-VAR Model Application

In this study, the volatility spiliover between metaverse tokens is investigated to guide investors. In the research, price data of Decentraland, StarLink, Axie Infinity, Radio Caca, The Sandbox, Internet Computer, My Neighbor Alice and Enjin Coin, for the period 12.14.2021- 10.22.2023 analyzes with the time-varying parameter vector autoregressive (TVP-VAR) model developed by Antonakakis et al. (2019). As a result of the research, it determines that Radio Caca and Axie Infinity only receive volatility; My Neighbor Alice and Enjin Coin only spread volatility: StarLink, Decentraland and Internet Computer are metaverse tokens that both receive and spread volatility.