  This study introduces the concept of the forking effect in the cryptocurrency
market,specifically focusing on the impact of forking events on bitcoin, also
called parent coin.We use a modified exponential GARCH model to examine the
bitcoin's response inreturns and volatility. Our findings reveal that forking
events do not significantlyaffect the bitcoin's returns but have a strong
positive impact on its volatility, especially when considering market dynamics.
Our model accounts for key features likevolatility clustering and fat-tailed
distributions. Additionally, we observe that following a fork event, volatility
remains elevated for the next three days, regardless ofother forking events,
and the volatility impact does not increase when multiple forksoccur
simultaneously on the same day.
