Cross-sectional standard deviation | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
 | BTC | ETH | XRP | ADA | DOGE | LTC | LINK | VET | XLM | THETA | TRX | CCI |
Constant | 0.027a (0.000) | 0.032a (0.000) | 0.027a (0.000) | 0.028a (0.000) | 0.034a (0.000) | 0.026a (0.000) | 0.031a (0.000) | 0.025a (0.000) | 0.026a (0.000) | 0.032a (0.000) | 0.026a (0.000) | 0.026a (0.000) |
\(\left| {R_{m,t} } \right|\) | 0.807a (0.000) | 0.385b (0.024) | 0.793a (0.002) | 0.723a (0.001) | 0.251a (0.005) | 0.935a (0.001) | 0.506a (0.001) | 0.928a (0.001) | 0.861a (0.006) | 0.378b (0.021) | 0.862a (0.001) | 0.835a (0.000) |
\(R_{m,t}^{2}\) | −5.483a (0.000) | −1.004c (0.000) | −4.276b (0.027) | −4.053a (0.006) | −0.648c (0.053) | −6.119a (0.006) | −1.270b (0.010) | −5.774a (0.006) | −4.802b (0.044) | −0.966c (0.069) | −5.081a (0.006) | −5.333a (0.001) |
\(R_{m,t}^{2} * Bubble_{t}\) | 3.591a (0.000) | 4.357c (0.080) | 2.400c (0.066) | 2.312b (0.018) | 13.534a (0.002) | 3.937b (0.013) | 17.98 (0.258) | 3.610b (0.011) | 2.775c (0.086) | 6.823b (0.012) | 3.047b (0.013) | 3.378a (0.001) |