This study examines the intraday volatility connectedness between the FTT token and the major cryptocurrencies (altcoins and stablecoins) 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. Surprisingly, 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 (confirmed by several robustness tests), whereas USD Coin is shown to be a net receiver from the system. The application of the results to active portfolio management remains to be investigated.

中文翻译：

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评估 FTX 崩溃后的加密市场稳定性：高频波动性和连通性研究

本研究探讨了 FTT 代币与围绕 FTX 破产的主要加密货币（山寨币和稳定币）之间的日内波动性关联性。使用 mcGARCH 模型估计日内每小时波动时间序列，然后通过 TVP-VAR 模型提供网络连通性度量。我们的结果表明，FTX 的破产增加了加密货币市场的整体盘中波动性。令人惊讶的是，我们发现稳定币是 FTX 崩溃后受影响最大的代币。 FTT 作为系统的主要净贡献者发挥着关键作用（已通过多项稳健性测试证实），而美元硬币则被证明是系统的净接收者。结果在主动投资组合管理中的应用仍有待研究。