Crypto–Traditional Portfolio Contagion: Modeling Volatility Clustering and Tail-Risk Spillovers

Abstract: This study investigates contagion between cryptocurrencies and traditional assets through the joint lenses of volatility clustering and tail-risk spillovers. The proposed empirical framework treats contagion as a two-layer phenomenon: (i) volatility persistence and cross-market volatility transmission that amplify risk during turbulent periods, and (ii) tail-event dependence in which extreme losses in one market systematically worsen the conditional downside risk of another. Rather tha