Table 2 Optimal weights, hedge ratios and hedging effectiveness under different scales
Portfolios | \({W}_{t}^{BTC}\) | \({\beta }_{t}\) | REVAR (%) |
|---|---|---|---|
Raw series | |||
BTC/ETH | 0.6332 | 0.8231 | 0.2899 |
BTC/LTC | − 0.0497 | 0.9119 | 0.3813 |
BTC/DASH | 0.3435 | 0.6850 | 0.5135 |
BTC/XRP | 0.1463 | 0.8543 | 0.4877 |
BTC/XMR | 0.2196 | 0.8291 | 0.5359 |
D1 | |||
BTC/ETH | 2.3039 | − 0.5336 | − 2.6977 |
BTC/LTC | 0.2102 | 1.4016 | 0.6771 |
BTC/DASH | 0.4992 | − 1.9546 | 0.9105 |
BTC/XRP | 0.6801 | − 1.2410 | 2.9236 |
BTC/XMR | 0.2035 | − 4.1168 | 1.1959 |
D2 | |||
BTC/ETH | 0.2939 | 0.3984 | 0.8973 |
BTC/LTC | 0.3702 | − 0.5863 | 1.3051 |
BTC/DASH | 0.5371 | 1.0930 | 0.9968 |
BTC/XRP | − 0.1191 | − 7.3638 | 0.7519 |
BTC/XMR | 0.0948 | − 8.2036 | 0.1589 |
D3 | |||
BTC/ETH | − 0.3691 | 3.0295 | 0.7858 |
BTC/LTC | 0.5080 | 1.0737 | 1.2410 |
BTC/DASH | 0.0280 | 0.6639 | 0.8915 |
BTC/XRP | 1.2612 | 3.4945 | 0.4041 |
BTC/XMR | − 0.1838 | 0.3284 | 1.5576 |
D4 | |||
BTC/ETH | − 7.9228 | − 0.0164 | − 10.6329 |
BTC/LTC | − 0.0345 | 0.8847 | 1.3392 |
BTC/DASH | 0.2852 | 0.5123 | 0.9385 |
BTC/XRP | − 0.2056 | 1.1843 | 0.7564 |
BTC/XMR | 0.5518 | 2.4997 | 1.6471 |
D5 | |||
BTC/ETH | − 1.0418 | 0.5409 | 2.2105 |
BTC/LTC | 0.3046 | 0.7648 | 0.8204 |
BTC/DASH | − 0.2126 | 0.5997 | 0.7013 |
BTC/XRP | 0.1156 | 0.6702 | 0.6843 |
BTC/XMR | 0.6114 | 1.0588 | 0.8084 |
D6 | |||
BTC/ETH | 1.0857 | 0.5962 | 1.3132 |
BTC/LTC | 0.1880 | 0.8720 | 0.4522 |
BTC/DASH | 0.6469 | 0.3812 | 0.7056 |
BTC/XRP | − 0.0583 | 0.6003 | 0.6428 |
BTC/XMR | 0.1302 | 0.8099 | 1.2568 |
D7 | |||
BTC/ETH | − 0.8670 | 0.7372 | 0.5418 |
BTC/LTC | 0.1298 | 0.7119 | 0.3139 |
BTC/DASH | 0.0481 | 0.4515 | 0.6513 |
BTC/XRP | 0.1935 | − 0.0566 | 0.8699 |
BTC/XMR | 4.2093 | 0.4772 | 93.0881 |
D8 | |||
BTC/ETH | − 1.0611 | 0.8583 | 0.4838 |
BTC/LTC | 0.0569 | 0.8583 | − 0.5250 |
BTC/DASH | 0.8044 | 0.0311 | 0.8686 |
BTC/XRP | 0.6123 | 0.5866 | 0.5871 |
BTC/XMR | − 0.1864 | 0.1465 | 0.8040 |