Financial Innovation

Table 5 Hedging effectiveness (%) for the 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
HE (VAR-AGARCH)	61.49	39.37	47.84
HE (VAR-BEKK-AGARCH)	57.10	35.76	46.55
COVID-19 period
HE (VAR-AGARCH)	76.32	61.78	70.40
HE (VAR-BEKK-AGARCH)	68.88	57.29	65.85

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