  This research examines the correlations between the return volatility of
cryptocurrencies, global stock market indices, and the spillover effects of the
COVID-19 pandemic. For this purpose, we employed a two-stage multivariate
volatility exponential GARCH (EGARCH) model with an integrated dynamic
conditional correlation (DCC) approach to measure the impact on the financial
portfolio returns from 2019 to 2020. Moreover, we used value-at-risk (VaR) and
value-at-risk measurements based on the Cornish-Fisher expansion (CFVaR). The
empirical results show significant long- and short-term spillover effects. The
two-stage multivariate EGARCH model's results show that the conditional
volatilities of both asset portfolios surge more after positive news and
respond well to previous shocks. As a result, financial assets have low
unconditional volatility and the lowest risk when there are no external
interruptions. Despite the financial assets' sensitivity to shocks, they
exhibit some resistance to fluctuations in market confidence. The VaR
performance comparison results with the assets portfolios differ. During the
COVID-19 outbreak, the Dow (DJI) index reports VaR's highest loss, followed by
the S&P500. Conversely, the CFVaR reports negative risk results for the entire
cryptocurrency portfolio during the pandemic, except for the Ethereum (ETH).
