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Table 2 Volatility spillover index Bitcoin markets and foreign exchange pairs denominated in major trading currencies

From: Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets

  USD:BTC EUR:BTC JPY:BTC BPS:BTC AUD:BTC CAD:BTC EUR:USD JPY:USD BPS:USD AUD:USD CAD:USD
USD:BTC 63.508 0.003 14.031 8.245 11.378 1.902 0.110 0.070 0.039 0.014 0.018
EUR:BTC 0.137 98.407 0.063 0.056 0.060 0.011 0.110 0.082 0.040 0.042 0.178
JPY:BTC 15.207 0.009 63.980 7.038 10.278 1.657 0.025 0.067 0.001 0.191 0.339
BPS:BTC 7.158 0.006 5.061 41.111 38.873 5.999 0.112 0.088 0.160 0.046 0.034
AUD:BTC 9.098 0.007 9.089 36.696 38.546 5.733 0.092 0.091 0.051 0.020 0.012
CAD:BTC 3.161 0.002 3.088 10.549 10.678 71.565 0.018 0.023 0.075 0.167 0.065
EUR:USD 0.063 0.058 0.010 0.065 0.054 0.016 39.846 6.947 10.750 6.787 3.215
JPY:USD 0.039 0.122 0.089 0.069 0.063 0.008 6.150 35.454 1.137 2.424 0.245
BPS:USD 0.021 0.051 0.009 0.171 0.073 0.025 8.535 1.124 33.555 5.108 4.071
AUD:USD 0.026 0.049 0.207 0.040 0.009 0.020 5.363 2.340 5.507 31.928 13.155
CAD:USD 0.038 0.162 0.190 0.022 0.005 0.004 2.118 0.140 3.798 12.324 30.829
JPY:EUR 0.068 0.007 0.030 0.003 0.001 0.007 7.628 7.833 5.171 1.370 1.702
BPS:EUR 0.017 0.034 0.027 0.049 0.024 0.006 4.333 2.684 8.280 0.062 0.346
AUD:EUR 0.011 0.006 0.167 0.139 0.027 0.026 4.353 0.930 0.117 8.716 3.699
CAD:EUR 0.012 0.087 0.134 0.104 0.041 0.008 6.672 3.214 0.480 0.581 8.789
BPS:JPY 0.048 0.094 0.040 0.012 0.007 0.003 0.310 8.135 12.541 0.532 1.316
AUD:JPY 0.030 0.002 0.152 0.062 0.014 0.017 0.188 6.885 1.483 10.183 5.644
CAD:JPY 0.031 0.041 0.154 0.040 0.019 0.009 0.271 10.649 0.650 1.618 9.815
AUD:BPS 0.033 0.088 0.139 0.279 0.066 0.044 0.110 0.139 7.577 8.772 2.114
CAD:BPS 0.041 0.215 0.091 0.183 0.041 0.014 1.429 0.513 9.811 0.766 7.681
CAD:AUD 0.030 0.030 0.028 0.012 0.021 0.024 1.342 1.489 0.209 7.753 2.488
Contribution to others 35.269 1.073 32.799 63.833 71.732 15.533 49.270 53.442 67.879 67.477 64.926
Contribution including own 98.777 99.481 96.779 104.944 110.278 87.098 89.116 88.896 101.434 99.405 95.755
  JPY:EUR BPS:EUR AUD:EUR CAD:EUR BPS:JPY AUD:JPY CAD:JPY AUD:BPS CAD:BPS CAD:AUD From others
USD:BTC 0.124 0.031 0.110 0.028 0.135 0.073 0.056 0.017 0.039 0.068 36.492
EUR:BTC 0.038 0.025 0.017 0.202 0.095 0.004 0.108 0.086 0.198 0.041 1.593
JPY:BTC 0.027 0.013 0.109 0.221 0.044 0.136 0.248 0.125 0.254 0.030 36.020
BPS:BTC 0.014 0.066 0.339 0.194 0.041 0.129 0.085 0.277 0.198 0.009 58.889
AUD:BTC 0.008 0.042 0.169 0.088 0.037 0.075 0.053 0.049 0.037 0.008 61.454
CAD:BTC 0.026 0.034 0.203 0.060 0.017 0.093 0.022 0.096 0.037 0.024 28.435
EUR:USD 8.971 5.071 5.545 9.234 0.487 0.285 0.242 0.074 1.385 0.896 60.155
JPY:USD 7.785 2.939 1.205 3.927 11.715 9.636 15.280 0.274 0.525 0.914 64.546
BPS:USD 4.425 6.829 0.216 0.545 14.473 1.595 0.816 8.147 9.896 0.317 66.445
AUD:USD 1.255 0.001 9.208 0.686 0.669 12.842 2.213 9.226 0.819 4.439 68.072
CAD:USD 1.381 0.594 4.065 10.787 1.589 6.895 13.092 2.178 8.289 1.499 69.171
JPY:EUR 34.109 0.891 2.401 1.769 15.403 11.013 9.352 0.670 0.536 0.037 65.891
BPS:EUR 0.884 39.476 5.917 7.229 13.184 1.247 3.062 7.618 4.379 1.140 60.524
AUD:EUR 2.252 5.339 30.027 13.678 0.133 10.717 4.376 10.219 3.714 1.355 69.973
CAD:EUR 1.497 6.107 12.674 27.528 0.504 3.564 12.311 1.858 10.658 3.176 72.472
BPS:JPY 11.068 9.457 0.110 0.403 26.872 8.088 9.293 6.646 4.618 0.406 73.128
AUD:JPY 7.866 1.260 9.206 3.322 8.371 25.128 13.887 4.264 1.131 0.904 74.873
CAD:JPY 6.117 2.573 3.722 11.033 8.874 13.029 23.731 0.434 4.881 2.310 76.269
AUD:BPS 0.587 5.355 10.599 2.112 7.229 5.292 0.528 31.527 14.084 3.325 68.473
CAD:BPS 0.569 2.655 4.203 12.350 4.878 1.459 6.310 13.998 30.912 1.881 69.088
CAD:AUD 0.068 1.949 2.289 6.851 0.568 2.160 5.118 6.008 3.576 57.988 42.012
Contribution to others 54.962 51.228 72.309 84.718 88.445 88.332 96.451 72.264 69.252 22.779 1223.970
Contribution including own 89.071 90.704 102.336 112.246 115.317 113.460 120.183 103.791 100.164 80.767 58.3%