Table 8 Estimation results of the benchmark models during Bitcoin crashes
From: The linkage between Bitcoin and foreign exchanges in developed and emerging markets
G7 basket | BRICS basket | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
2013 crash | 2018 crash | COVID-19 | 2021 crash | 2022 crash | 2013 crash | 2018 crash | COVID-19 | 2021 crash | 2022 crash | |
Panel A: multivariate \(t_\nu\) copula | ||||||||||
dof | 4.91 | 4.92 | 4.52 | 4.15 | 3.67 | 7.38 | 6.09 | 5.76 | 4.96 | 5.01 |
Log-likelihood | 112.20 | 119.80 | 108.50 | 180.20 | 220.80 | 80.33 | 179.60 | 175.70 | 88.85 | 82.71 |
AIC | − 202.46 | − 217.70 | − 195.03 | − 338.47 | − 419.67 | − 128.66 | − 363.16 | − 319.38 | − 145.71 | − 133.41 |
BIC | − 163.99 | − 175.77 | − 154.51 | − 305.96 | − 383.44 | − 72.70 | − 302.18 | − 260.44 | − 98.41 | − 80.72 |
Panel B: DCC model | ||||||||||
Log-likelihood | 73.98 | 88.62 | − 22.05 | 146.76 | 41.42 | − 132.91 | − 9.04 | − 62.07 | 25.71 | 17.20 |
AIC | − 141.96 | − 171.24 | 50.10 | − 287.51 | − 76.84 | 271.82 | 24.09 | 130.14 | − 45.41 | − 28.40 |
BIC | − 131.47 | − 159.80 | 61.15 | − 278.65 | − 66.98 | 282.31 | 35.52 | 141.19 | − 36.54 | − 18.53 |