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As the importance of sustainable development increases, firms and investors are increasingly interested in sustainable/green practices. The clean energy index, green bonds, and sustainable crypto applications are among them. In this study, the four most important sustainable crypto assets and the S&P Global Clean Energy Index and S&P Green Bond Index variables are used. Applying the Dynamically Correlated Multivariate Stochastic Volatility with Multivariate Volatility (DC-MSV) model, we observed that the S&P Global Clean Energy Index, S&P Green Index, Cordano, Bitgreen, Ripple, and Stellar variables exhibit intense volatility clustering and their volatilities are predictable. These findings are important for the selection of crypto assets to be added to the portfolio and risk management.
Gürsoy et al. (Wed,) studied this question.