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

Financial Innovation

Table 9 VaR and CVaR results

	Mean	Standard deviation	Cumulative return	Max One-day loss	VaR (%1)	VaR (%5)	CVaR (%1)	CVaR (%5)
SSE	107.6	8.39	23.9	8.04	− 3.94	− 1.85	− 19.6	− 3.06
S&P 500	103.8	10.3	23.5	12.8	− 7.90	− 3.12	− 10.3	− 5.46
BTC	142.3	82.2	281.2	31.6	− 9.03	− 4.91	− 15.1	− 8.27
ETH	185.3	135.4	651.7	42.3	− 17.5	− 6.65	− 22.3	− 11.9
XLM	125.2	76.9	284.1	27.6	− 15.3	− 7.12	− 17.9	− 11.5
XRP	97.7	37.2	4.68	45.2	− 14.3	− 7.62	− 24.9	− 13.5
USDT	100.1	0.23	0.25	4.2	− 0.46	− 0.17	− 1.49	− 0.50
ADA	212.9	151.6	703.2	34.9	− 14.4	− 8.07	− 19.1	− 12.2
LTC	103.6	47.5	139.9	37.7	− 15.7	− 7.31	− 21.6	− 12.1
EOS	85.2	16.7	19.9	35.2	− 17.9	− 8.14	− 21.6	− 13.3