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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