BTC | Dash | EOS | ETH | LTC | BAT | |
---|---|---|---|---|---|---|
Panel A: Realized Volatility (RV) | ||||||
BTC | 1.000000 | 0.102604 | 0.749265 | 0.901921 | 0.827615 | 0.802753 |
Dash | 0.102604 | 1.000000 | 0.187993 | 0.128894 | 0.122714 | 0.136312 |
EOS | 0.749265 | 0.187993 | 1.000000 | 0.822094 | 0.699581 | 0.634966 |
ETH | 0.901921 | 0.128894 | 0.822094 | 1.000000 | 0.840007 | 0.724390 |
LTC | 0.827615 | 0.122714 | 0.699581 | 0.840007 | 1.000000 | 0.654917 |
BAT | 0.802753 | 0.136312 | 0.634966 | 0.724390 | 0.654917 | 1.000000 |
Panel B: Realized Skewness (RS) | ||||||
BTC | 1.000000 | 0.242808 | 0.252156 | 0.773499 | 0.638008 | 0.126200 |
Dash | 0.242808 | 1.000000 | 0.514639 | 0.104678 | 0.103753 | 0.235356 |
EOS | 0.252156 | 0.514639 | 1.000000 | 0.118706 | 0.129093 | 0.325813 |
ETH | 0.773499 | 0.104678 | 0.118706 | 1.000000 | 0.692752 | 0.083513 |
LTC | 0.638008 | 0.103753 | 0.129093 | 0.692752 | 1.000000 | 0.099897 |
BAT | 0.126200 | 0.235356 | 0.325813 | 0.083513 | 0.099897 | 1.000000 |
Panel C: Realized Kurtosis (RK) | ||||||
BTC | 1.000000 | 0.197618 | 0.169081 | 0.885853 | 0.747158 | 0.101645 |
Dash | 0.197618 | 1.000000 | 0.624418 | 0.111708 | 0.058586 | 0.416170 |
EOS | 0.169081 | 0.624418 | 1.000000 | 0.084971 | 0.059390 | 0.396050 |
ETH | 0.885853 | 0.111708 | 0.084971 | 1.000000 | 0.795237 | 0.093410 |
LTC | 0.747158 | 0.058586 | 0.059390 | 0.795237 | 1.000000 | 0.027974 |
BAT | 0.101645 | 0.416170 | 0.396050 | 0.093410 | 0.027974 | 1.000000 |
Panel D: Signed Jump Variation (SJV) | ||||||
BTC | 1.000000 | 0.329992 | 0.485401 | 0.755450 | 0.610130 | − 0.057630 |
Dash | 0.329992 | 1.000000 | 0.523501 | 0.304977 | 0.439522 | 0.064912 |
EOS | 0.485401 | 0.523501 | 1.000000 | 0.423126 | 0.638753 | 0.189787 |
ETH | 0.755450 | 0.304977 | 0.423126 | 1.000000 | 0.662366 | − 0.085262 |
LTC | 0.610130 | 0.439522 | 0.638753 | 0.662366 | 1.000000 | 0.062005 |
BAT | − 0.057630 | 0.064912 | 0.189787 | − 0.085262 | 0.062005 | 1.000000 |