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We present a multi-scale and time-frequency analysis of the degree of integration and the lead-lag relationship between six cryptocurrencies (i.e., Bitcoin, Bitcoincash, Ethereum, Litecoin, Ripple, and Tether) and the cryptocurrency-implied volatility index (VCRIX). As a result, the wavelet techniques—bi-wavelet, partial wavelet, bivariate contemporary correlations (BCC), wavelet multiple correlations (WMC) and wavelet multiple cross-correlations (WMCC) are applied. Findings from the study provide that the interdependencies between the cryptocurrencies and VCRIX are high and mostly positive across investment horizons. Furthermore, the comovements between the cryptocurrencies designate long memory dynamics. The high comovements between cryptocurrencies are highly influenced by idiosyncratic shocks they possess rather than the VCRIX. In addition, the BCC and the WMC indicate that there is a high …