Fig. 6

Comparison heat map for cascade-correlation network analysis of variance results. \(R^{2}\): Proportion of variance explained by the model, CV: Coefficient of variation, NMSE: Normalized mean square error, MAPE: Mean Absolute Percentage Error, Panel A: The entire study period, Panel B: pre-COVID-19, Panel C: during-COVID-19, XAU: gold, JPN: Nikkei 225, SPX: S&P 500, UK: FTSE 100, CHN: China A50, DEU: DAX and CAC: CAC 40. The warmer the color indicates a stronger relationship, which means contagion in the long term, while the cooler the color indicates a stronger relationship in the short term. It is clear from this Figure that the results of DCC-GARCH model are confirmed, which indicates a long-term volatility contagion between Bitcoin, gold, and the six stock markets. While there is a short-term contagion during COVID-19 between Bitcoin and gold, on one side; and between Bitcoin and the Japanese stock market on the other side (the darker green color of MAPE in the lower left corner), which is in line with the Cascade Correlation network results presented in Table 3