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Table 4 Optimal Weights and Hedge Ratios for pairs of cryptocurrencies

From: Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic

 

BTC/ETH

BTC/LTC

ETH/LTC

Pre COVID-19 period

 \(w_{t}\)(VAR-AGARCH)

0.84

0.92

0.82

 \(w_{t}\)(VAR-BEKK-AGARCH)

0.86

0.93

0.84

 \(\beta_{t}\)(VAR-AGARCH)

0.62

0.41

0.55

 \(\beta_{t}\)(VAR-BEKK-AGARCH)

0.62

0.41

0.55

COVID-19 period

 \(w_{t}\)(VAR-AGARCH)

0.82

0.90

0.80

 \(w_{t}\)(VAR-BEKK-AGARCH)

0.84

0.90

0.79

 \(\beta_{t}\)(VAR-AGARCH)

0.64

0.50

0.67

 \(\beta_{t}\)(VAR-BEKK-AGARCH)

0.66

0.53

0.71

  1. \(w_{t}\) and \(\beta_{t}\) refer to the optimal weights and hedge ratios, respectively