Cross-sectional absolute deviation | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
 | BTC | ETH | XRP | ADA | DOGE | LTC | LINK | VET | XLM | THETA | TRX | CCI |
Constant | 0.017a (0.000) | 0.021a (0.000) | 0.017a (0.000) | 0.018a (0.000) | 0.021a (0.000) | 0.016a (0.000) | 0.019a (0.000) | 0.016a (0.000) | 0.017a (0.000) | 0.020a (0.000) | 0.016a (0.000) | 0.016a (0.000) |
\(\left| {R_{m,t} } \right|\) | 0.525a (0.000) | 0.241a (0.000) | 0.486a (0.000) | 0.472a (0.000) | 0.199a (0.000) | 0.556a (0.000) | 0.330a (0.000) | 0.555a (0.000) | 0.516a (0.000) | 0.245a (0.001) | 0.535a (0.000) | 0.537a (0.000) |
\(R_{m,t}^{2}\) | −3.469a (0.000) | −0.535b (0.021) | −2.371a (0.004) | −2.561a (0.000) | −0.417b (0.012) | −3.292a (0.002) | −0.736a (0.001) | −3.136a (0.000) | −2.585a (0.006) | −0.531b (0.018) | −2.938a (0.000) | −3.305a (0.000) |
\(R_{m,t}^{2} * Bubble_{t}\) | 2.334a (0.000) | 3.153b (0.010) | 1.305b (0.027) | 1.520a (0.001) | 6.963a (0.000) | 2.075b (0.007) | 9.496 (0.251) | 1.923a (0.001) | 1.453b (0.026) | 4.490a (0.000) | 1.762a (0.001) | 2.140a (0.000) |