When Small Coins Roar: Rethinking Systemic Risk in Crypto Volatility Forecasting
TL;DR for operators Crypto risk systems often watch the obvious giants. Bitcoin first. Ethereum second. Everything else somewhere in the dashboard’s lower intestine, where altcoins go to become colourful noise. This paper argues that this is not enough.1 In volatility forecasting, the asset that matters is not always the asset with the largest market capitalisation. It may be the asset whose volatility is transmitting stress into Bitcoin under the current market state. That is a different question, and it produces a different monitoring system. ...