Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the
New Gold. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as other
cryptocurrencies. Results show that cryptocurrencies generate much greater returns and risks than gold. Secondly, a
Granger causality test between gold and cryptocurrencies indicates that an increase in gold prices tends to lead a rise in
cryptocurrency prices, while the influence of cryptocurrency price changes on gold prices does not go in the same
direction. These findings show that cryptocurrencies may not be a perfect substitution for gold as an inflation hedge.