Table 8 Tv-LMM via KFMR parameter estimates (with standard errors) of cryptocurrencies during the pre-COVID-19 period
Period | Pre-COVID-19 | |||||
|---|---|---|---|---|---|---|
Cryptocurrencies | \(\widehat{{\varvec{Q}}_{\varvec{i}}}\) | \(\widehat{{\varvec{H}}_{\varvec{i}}}\) | \(\widehat{{\varvec{\phi }}_{\varvec{i}}}\) | \(\widehat{{\varvec{\alpha} }_{\varvec{i}}}\) | \(\widehat{\stackrel{-}{{\varvec{\beta} }_{\varvec{i}}}}\) | Adjusted \({\varvec{R}}^{2}\) |
BPI | 0.0586 | 0.0001 | 0.5214 | 0.0006 | 0.8314 | 0.910 |
(0.0260) | (0.0000) | (0.2233) | (0.0000) | (0.0288) | Â | |
ETH | 0.1032 | 0.0002 | 0.0000 | 0.0002 | 1.0663 | 0.936 |
(0.0300) | (0.0000) | (0.0000) | (0.0000) | (0.0327) | Â | |
XRP | 0.1740 | 0.0002 | 0.1365 | − 0.0019 | 0.9077 | 0.904 |
(0.0342) | (0.0000) | (0.0289) | (0.0000) | (0.0356) | Â | |
BCH | 0.1392 | 0.0004) | 0.4928 | − 0.0002 | 1.2472 | 0.883 |
(0.0457) | (0.0000) | (0.1421) | (0.0000) | (0.0682) | Â | |
BNB | 0.0145 | 0.0008 | 0.8856 | 0.0024 | 0.8971 | 0.589 |
(0.0133) | (0.0001) | (1.0437) | (0.0000) | (0.0614) | Â | |
LINK | 0.0880 | 0.0030 | 0.0000 | 0.0055 | 0.8043 | 0.256 |
(0.0882) | (0.0002) | (0.0000) | (0.0000) | (0.0665) | Â | |
CRO | 0.0000 | 0.0051 | 0.9338 | 0.0014 | 0.5635 | 0.182 |
(0.0000) | (0.0003) | (10.5574) | (0.0000) | (0.0558) | Â | |
LTC | 0.0476 | 0.0004 | 0.7528 | − 0.0002 | 1.1859 | 0.850 |
(0.0266) | (0.0000) | (0.4850) | (0.0000) | (0.0665) | Â | |
BSV | 0.7893 | 0.0023 | 0.2965 | − 0.0006 | 1.2477 | 0.708 |
(0.6982) | (0.0003) | (0.3516) | (0.0000) | (0.1394) | Â | |
ADA | 0.0115 | 0.0005 | 0.8645 | − 0.0009 | 1.1272 | 0.799 |
(0.0093) | (0.0000) | (0.8842) | (0.0000) | (0.0595) | Â | |
Average | 0.1426 | 0.0014 | 0.4884 | 0.0006 | 0.9878 | 0.702 |