Financial Innovation

Table 6 Maximum Likelihood estimates of the Gaussian DCC model

From: Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis

Parameter	λ₁	λ₂	Probability	1 − (λ₁ + λ₂)
BTC	0.85137	0.09289	0.000	0.05574
ETH	0.86736	0.10921	0.000	0.02343
XLM	0.60571	0.22733	0.000	0.16696
XRP	0.64199	0.25755	0.000	0.10046
USDT	0.68949	0.29172	0.000	0.01879
ADA	0.76910	0.16656	0.000	0.06434
LTC	0.81803	0.14208	0.000	0.03989
EOS	0.81151	0.15512	0.000	0.03337

The decay factors 1–(δ₁ + δ₂) = 0.02414 where δ₁ = 0.95349 and δ₂ = 0.02237; Maximum Log-Likelihood = 2191.7

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