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Table 3 Averaged connectedness table-RV

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

 

BTC

Dash

EOS

ETH

LTC

BAT

FROM

BTC

26.72 (16.28)

[7.23] {3.21}

8.53 (4.72)

[2.23] {1.58}

10.94 (6.27)

[2.96] {1.71}

21.19 (13.38)

[5.67] {2.14}

20.08 (12.51)

[5.51] {2.05}

12.54 (8.19)

[2.99] {1.36}

73.28 (45.07)

[19.37] {8.84}

Dash

10.05 (4.31)

[2.46] {3.27}

44.71 (21.51)

[14.05] {9.15}

15.68 (7.21)

[4.67] {3.79}

9.09 (5.38)

[2.09] {1.61}

6.23 (3.25)

[1.47] {1.51}

14.25 (7.52)

[4.01] {2.72}

55.29 (27.68)

[14.70] {12.91}

EOS

12.08 (6.75)

[2.93] {2.39}

13.47 (7.54)

[3.30] {2.62}

34.04 (20.81)

[8.94] {4.29}

11.13 (7.69)

[2.20] {1.24}

8.72 (5.39)

[1.99] {1.34}

20.55 (13.12)

[5.02] {2.41}

65.96 (40.49)

[15.45] {10.01}

ETH

21.24 (13.35)

[5.65] {2.24}

9.04 (5.33)

[2.33] {1.38}

10.86 (6.92)

[2.80] {1.14}

27.99 (17.68)

[7.32] {2.99}

20.20 (12.37)

[5.64] {2.20}

10.67 (7.63)

[2.23] {0.81}

72.01 (45.60)

[18.65] {7.77}

LTC

22.26 (12.80)

[6.31] {3.14}

6.85 (4.35)

[1.71] {0.79}

9.60 (6.73)

[2.15] {0.72}

22.68 (12.92)

[6.31] {3.46}

29.84 (17.47)

[8.29] {4.08}

8.77 (6.41)

[1.79] {0.57}

70.16 (43.21)

[18.26] {8.69}

BAT

14.91 (9.29)

[3.81] {1.81}

12.06 (7.54)

[3.17] {1.35}

20.85 (12.51)

[5.94] {2.40}

11.22 (7.98)

[2.30] {0.94}

8.11 (5.15)

[2.07] {0.89}

32.85 (20.88)

[8.80] {3.17}

67.15 (42.48)

[17.29] {7.38}

TO

80.54 (46.51)

[21.17] {12.86}

49.94 (29.49)

[12.73] {7.72}

67.93 (39.63)

[18.53] {9.77}

75.31 (47.36)

[18.57] {9.38}

63.35 (38.68)

[16.68] {7.99}

66.78 (42.86)

[16.04] {7.88}

TCI

NET

7.27 (1.45)

[1.80] {4.02}

− 5.35 (1.81)

[− 1.97] {− 5.19}

1.97 (− 0.86)

[3.09] {− 0.25}

3.30 (1.76)

[− 0.08] {1.62}

− 6.82 (− 4.53)

[− 1.59] {− 0.69}

− 0.37 (0.38)

[− 1.25] {0.50}

67.31 (40.76)

[17.29] {9.27}

  1. The numerical results are obtained by employing Chatziantoniou et al.′s (2021) novel TVP-VAR based frequency connectedness approach. The results are based on a TVP-VAR model with the optimal lag length (lag order = 2) and a forecast error variance decomposition with 100 steps ahead. The values in the upper left corner of each square represent the time-domain connectedness results obtained using the traditional DY connectedness approach. The values in parentheses (), square brackets [], and curly brace {} denote the short-term (1–7 days, weekly), medium-term (7–30 days, monthly), and long-term (more than 30 days) frequency connectedness results. The column ‘FROM’ indicates the total connectedness received by market i from all other markets. The row ‘TO’ indicates the total connectedness transmitted by a market i to all other markets. The row ‘NET’ denotes the net connectedness results. The positive/negative ‘NET’ values represent the net-transmitter/net-recipient of the connectedness. ‘TCI’ located in the bottom right denotes the total connectedness index, which measures the total spillover effects within the system