MVIE Crypto Contagion
A Diebold-Yilmaz generalised variance decomposition engine that measures how volatility spills from crypto assets into crypto-correlated equities — and, just as importantly, which direction the risk is travelling.
10/10 Crash Independently Detected
The engine surfaced the 10 October 2025 crypto liquidation event straight from the data, with no dates supplied to it. Crypto → equity leakage rose from 4.3% to 26.4%.
Parameter-Robust (r = 0.98)
Results are insensitive to the choice of VAR lag order and forecast horizon, so the signal is a property of the market rather than of the specification.
Live
Current spillover state
Total connectedness across the crypto and equity panel, and the balance of transmission between the two blocks.
Total spillover
Snapshot for
8.09%
Share of equity forecast-error variance driven by crypto shocks.
7.45%
Share of crypto forecast-error variance driven by equity shocks.
Crypto-led contagion · leading by 0.64 pp (1.09×)
Crypto shocks are propagating into equities faster than the reverse. Digital assets are the source of transmitted risk.
Decomposition
Who transmits, who absorbs
Net directional spillover per instrument, and how total connectedness has evolved across the rolling window.
Net transmitter / receiver
Directional spillover given, minus spillover received. Positive means the asset exports volatility to the rest of the panel.
- ETHUSDT+4.76
- BTCUSDT+2.02
- COIN-0.18
- SOLUSDT-0.24
- MSTR-0.46
- BNBUSDT-2.01
- XRPUSDT-3.90
Total spillover trend
Last 90 published snapshots · 90 available. Times are UTC.
| Date (UTC) | Total spillover |
|---|---|
| 01 Jul 2026, 00:00 UTC | 55.57% |
| 02 Jul 2026, 00:00 UTC | 55.14% |
| 03 Jul 2026, 00:00 UTC | 54.79% |
| 04 Jul 2026, 00:00 UTC | 54.39% |
| 05 Jul 2026, 00:00 UTC | 54.46% |
| 06 Jul 2026, 00:00 UTC | 54.44% |
| 07 Jul 2026, 00:00 UTC | 54.79% |
| 08 Jul 2026, 00:00 UTC | 54.80% |
| 09 Jul 2026, 00:00 UTC | 55.04% |
| 10 Jul 2026, 00:00 UTC | 54.70% |
| 11 Jul 2026, 00:00 UTC | 54.38% |
| 12 Jul 2026, 00:00 UTC | 54.48% |
| 13 Jul 2026, 00:00 UTC | 54.35% |
| 14 Jul 2026, 00:00 UTC | 53.82% |
| 15 Jul 2026, 00:00 UTC | 54.11% |
| 16 Jul 2026, 00:00 UTC | 54.15% |
| 17 Jul 2026, 00:00 UTC | 53.98% |
| 18 Jul 2026, 00:00 UTC | 54.31% |
| 19 Jul 2026, 00:00 UTC | 54.44% |
| 20 Jul 2026, 00:00 UTC | 54.53% |
| 21 Jul 2026, 00:00 UTC | 54.79% |
| 22 Jul 2026, 00:00 UTC | 54.87% |
| 23 Jul 2026, 00:00 UTC | 54.94% |
| 24 Jul 2026, 00:00 UTC | 55.06% |
| 25 Jul 2026, 00:00 UTC | 55.52% |
| 26 Jul 2026, 00:00 UTC | 55.85% |
| 27 Jul 2026, 00:00 UTC | 55.16% |
| 28 Jul 2026, 00:00 UTC | 54.31% |
| 29 Jul 2026, 00:00 UTC | 54.37% |
| 30 Jul 2026, 00:00 UTC | 54.50% |
| 31 Jul 2026, 00:00 UTC | 54.02% |
| 01 Aug 2026, 00:00 UTC | 53.50% |
| 02 Aug 2026, 00:00 UTC | 53.18% |
| 03 Aug 2026, 00:00 UTC | 53.22% |
| 04 Aug 2026, 00:00 UTC | 53.22% |
| 05 Aug 2026, 00:00 UTC | 53.47% |
| 06 Aug 2026, 00:00 UTC | 53.34% |
| 07 Aug 2026, 00:00 UTC | 53.11% |
| 08 Aug 2026, 00:00 UTC | 52.98% |
| 09 Aug 2026, 00:00 UTC | 52.86% |
| 10 Aug 2026, 00:00 UTC | 53.45% |
| 11 Aug 2026, 00:00 UTC | 53.54% |
| 12 Aug 2026, 00:00 UTC | 54.03% |
| 13 Aug 2026, 00:00 UTC | 54.05% |
| 14 Aug 2026, 00:00 UTC | 54.23% |
| 15 Aug 2026, 00:00 UTC | 54.45% |
| 16 Aug 2026, 00:00 UTC | 55.00% |
| 17 Aug 2026, 00:00 UTC | 55.19% |
| 18 Aug 2026, 00:00 UTC | 55.43% |
| 19 Aug 2026, 00:00 UTC | 56.97% |
| 20 Aug 2026, 00:00 UTC | 67.37% |
| 21 Aug 2026, 00:00 UTC | 63.91% |
| 22 Aug 2026, 00:00 UTC | 69.45% |
| 23 Aug 2026, 00:00 UTC | 66.88% |
| 24 Aug 2026, 00:00 UTC | 58.61% |
| 25 Aug 2026, 00:00 UTC | 58.58% |
| 26 Aug 2026, 00:00 UTC | 58.67% |
| 27 Aug 2026, 00:00 UTC | 58.82% |
| 28 Aug 2026, 00:00 UTC | 58.64% |
| 29 Aug 2026, 00:00 UTC | 58.81% |
| 30 Aug 2026, 00:00 UTC | 58.51% |
| 31 Aug 2026, 00:00 UTC | 58.81% |
| 01 Sep 2026, 00:00 UTC | 58.77% |
| 02 Sep 2026, 00:00 UTC | 58.82% |
| 03 Sep 2026, 00:00 UTC | 59.05% |
| 04 Sep 2026, 00:00 UTC | 58.96% |
| 05 Sep 2026, 00:00 UTC | 61.07% |
| 06 Sep 2026, 00:00 UTC | 61.44% |
| 07 Sep 2026, 00:00 UTC | 62.72% |
| 08 Sep 2026, 00:00 UTC | 62.96% |
| 09 Sep 2026, 00:00 UTC | 63.19% |
| 10 Sep 2026, 00:00 UTC | 63.67% |
| 11 Sep 2026, 00:00 UTC | 63.76% |
| 12 Sep 2026, 00:00 UTC | 63.44% |
| 13 Sep 2026, 00:00 UTC | 63.14% |
| 14 Sep 2026, 00:00 UTC | 62.89% |
| 15 Sep 2026, 00:00 UTC | 62.85% |
| 16 Sep 2026, 00:00 UTC | 62.34% |
| 17 Sep 2026, 00:00 UTC | 62.45% |
| 18 Sep 2026, 00:00 UTC | 62.57% |
| 19 Sep 2026, 00:00 UTC | 62.75% |
| 20 Sep 2026, 00:00 UTC | 62.59% |
| 21 Sep 2026, 00:00 UTC | 62.76% |
| 22 Sep 2026, 00:00 UTC | 62.56% |
| 23 Sep 2026, 00:00 UTC | 62.27% |
| 24 Sep 2026, 00:00 UTC | 62.37% |
| 25 Sep 2026, 00:00 UTC | 62.62% |
| 26 Sep 2026, 00:00 UTC | 62.90% |
| 27 Sep 2026, 00:00 UTC | 63.05% |
| 28 Sep 2026, 00:00 UTC | 62.85% |
Interpretation
How to read these numbers
The index describes the market as a whole. What it means for a position depends on what you hold.
What is measured
Five crypto assets (BTC, ETH, SOL, BNB, XRP) and two crypto-correlated equities (COIN, MSTR). Crypto arrives from Binance every five minutes, equities as daily bars; both are aligned to daily buckets before estimation.
The total figure
The share of each asset's forecast-error variance explained by the other assets rather than its own past. High means the panel moves as one block, so diversification inside it is weaker than the individual correlations suggest.
The direction
Which way risk is travelling. Crypto → equity dominant means shocks start in crypto and leak outward. Equity → crypto dominant means the driver is macro — and a crypto position is less independent of the stock market than it looks.
This page measures the market. MVIE Pro measures your portfolio against it — position by position, with the same variance-decomposition machinery.
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