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Financial Innovation

Table 1 Descriptive statistics of daily realized moments

From: Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic

 

Mean

SD

Skewness

Kurtosis

Jarque–Bera

ADF

PP

Panel A: Realized Volatility (RV)

BTC

0.001822

0.004654

14.98685

302.2478

3,501,079***

− 14.93552***

− 22.70821***

Dash

0.007937

0.078771

22.69180

540.9226

11,280,399***

− 14.31224***

− 17.97840***

EOS

0.004337

0.010198

12.53668

225.4151

1,939,178***

− 10.52139***

− 26.68899***

ETH

0.003769

0.006946

11.14418

174.1410

1,152,967***

− 7.664114***

− 24.26728***

LTC

0.008497

0.009734

8.060229

104.9441

412,339.2***

− 7.829643***

− 23.60590***

BAT

0.006143

0.011404

14.55549

308.8150

3,652,917***

− 23.40249***

− 24.61295***

Panel B: Realized Skewness (RS)

BTC

− 0.016939

3.746830

0.104197

14.93655

5516.891***

− 31.78434***

− 31.76607***

Dash

− 0.147581

1.812458

− 0.275905

22.33551

14,483.37***

− 30.87494***

− 30.87634***

EOS

− 0.243857

2.387582

− 0.842229

17.01832

7716.528***

− 29.50464***

− 29.49814***

ETH

0.064291

3.491486

− 0.061328

20.55325

11,927.26***

− 32.72021***

− 32.67073***

LTC

0.050513

3.069305

0.589382

28.33280

24,894.88***

− 32.43155***

− 32.43120***

BAT

− 0.103550

1.407083

1.869004

38.58945

49,569.18***

− 32.26440***

− 32.05995***

Panel C: Realized Kurtosis (RK)

BTC

25.60290

54.14920

3.905588

18.16178

11,260.03***

− 5.370928***

− 30.61559***

Dash

12.44279

20.85579

6.138808

55.13884

111,061.9***

− 4.171099***

− 28.30612***

EOS

16.31601

29.25903

4.993374

32.99441

38,685.10***

− 7.498770***

− 30.48970***

ETH

20.36547

54.71493

4.307199

20.66446

14,950.75***

− 5.156628***

− 30.84059***

LTC

19.64629

49.68773

4.809156

25.59066

23,335.32***

− 4.972393***

− 33.73456***

BAT

10.28841

18.64893

6.837938

65.02460

156,152.5***

− 9.137507***

− 32.41556***

Panel D: Signed Jump Variation (SJV)

BTC

− 0.000031

0.000812

− 2.519562

50.94549

89,964.48***

− 33.58385***

− 33.60951***

Dash

0.000004

0.003145

3.839030

174.9927

1,147,332***

− 28.93107***

− 28.93923***

EOS

− 0.000324

0.003589

− 8.653027

140.7738

746,340.2***

− 30.13224***

− 30.13122***

ETH

− 0.000009

0.001453

− 1.550353

59.85337

125,489.3***

− 33.90443***

− 33.80057***

LTC

− 0.00009

0.002189

− 7.043786

119.5256

533,272.5***

− 30.42290***

− 30.48398***

BAT

− 0.000077

0.004941

− 2.546340

310.9413

3,671,633***

− 34.27580***

− 33.73035***

  1. The numerical results presented in the table show the basic descriptive statistics of the daily realized moment measures for cryptocurrencies. The Jarque–Bera statistic is used to test the normality of the sample distribution. The unit root tests ADF (Augmented Dickey-Fuller) and PP (Phillips-Perron) are used to test the stationarity of the daily realized moment measures. *** denotes statistical significance at the 1% level
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