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 |