From: Intelligent design: stablecoins (in)stability and collateral during market turbulence
BTC | BUSD | DAI | LUNA | UST | USDT | USDC | |
---|---|---|---|---|---|---|---|
Panel A: pre-collapse period (20 April 2022–9 May 2022) | |||||||
Mean | − 0.0011 | 0 | 0 | − 0.004 | − 0.0009 | 0 | 0 |
Median | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Max | 1.3604 | 0.01 | 0.6764 | 7.5653 | 5.9968 | 0.626 | 1.0925 |
Min | − 1.2013 | − 0.01 | − 0.6765 | − 4.6747 | − 2.8252 | − 0.6271 | − 0.8492 |
SD | 0.0846 | 0.0045 | 0.0263 | 0.1932 | 0.0591 | 0.0183 | 0.0255 |
Skewness | 0.1752 | − 0.0002 | 0.0545 | 0.7353 | 25.7039 | 0.1591 | 1.9935 |
Excess Kurtosis | 19.1692 | 2.0482 | 60.5877 | 157.2306 | 4198.0988 | 231.8142 | 466.2319 |
Jarque–Bera | 0.44*** | 0.05*** | 4.41*** | 29.67*** | 21152.01*** | 64.49*** | 260.87*** |
ADF | − 23.1*** | − 40.1*** | − 38.4*** | − 14.1*** | − 3.3** | − 36.5*** | − 39.4*** |
ARCH(1) | 1492.1*** | 211.5*** | 6866.4*** | 719.0*** | 29.2*** | 7084.0*** | 8035.1*** |
ARCH(6) | 2656.9*** | 444.5*** | 9637.9*** | 2732.5*** | 1038.9*** | 11674.6*** | 8705.1*** |
ARCH(12) | 2926.4*** | 602.3*** | 9748.4*** | 5020.3*** | 1880.5*** | 12069.9*** | 8736.9*** |
Q(6) | 30.7*** | 2509.1*** | 7037.5*** | 324.5*** | 1235.3*** | 6469.0*** | 8112.6*** |
Q(12) | 64.1*** | 2522.6*** | 7049.2*** | 432.0*** | 1834.3*** | 6480.5*** | 8113.4*** |
Q\(^2\)(6) | 4823.9*** | 567.3*** | 7051.2*** | 4236.6*** | 1122.0*** | 7122.2*** | 11766.0*** |
Q\(^2\)(12) | 7139.7*** | 928.3*** | 7303.3*** | 10180.7*** | 2125.8*** | 7130.7*** | 11766.1*** |
Panel B: collapse period (10 May 2022–29 May 2022) | |||||||
Mean | − 0.0001 | 0 | 0 | − 0.0437 | − 0.0118 | 0 | 0 |
Median | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Max | 2.5506 | 0.1 | 1.8215 | 608.336 | 43.8416 | 1.7807 | 6.3763 |
Min | − 1.8623 | − 0.1 | − 2.6808 | − 607.3849 | − 46.106 | − 1.7589 | − 6.4213 |
SD | 0.1302 | 0.0137 | 0.0612 | 52.9634 | 1.7118 | 0.0584 | 0.097 |
Skewness | 0.8269 | 0.0016 | − 1.7094 | − 0.0164 | 0.2579 | − 0.1884 | 0.5163 |
Excess Kurtosis | 23.612 | 41.9405 | 210.6163 | 108.6154 | 89.4661 | 160.844 | 1418.0227 |
Jarque–Bera | 0.67*** | 2.11*** | 53.25*** | 14.16*** | 9.61*** | 31.05*** | 2412.95*** |
ADF | − 24.1*** | − 34.2*** | − 38.1*** | − 32.0*** | − 22.1*** | − 29.8*** | − 38.5*** |
ARCH(1) | 1678.3*** | 4751.9*** | 686.7*** | 7409.7*** | 2721.6*** | 5390.1*** | 7088.5*** |
ARCH(6) | 3383.1*** | 8253.2*** | 4212.7*** | 11858.9*** | 3749.0*** | 6446.3*** | 11601.0*** |
ARCH(12) | 3762.7*** | 9288.2*** | 5717.0*** | 12365.3*** | 4719.2*** | 7627.5*** | 12291.3*** |
Q(6) | 21.1*** | 4910.3*** | 5034.8*** | 7721.5*** | 292.8*** | 4152.2*** | 6675.5*** |
Q(12) | 50.0*** | 4967.9*** | 5164.5*** | 7887.4*** | 336.0*** | 4457.9*** | 7158.2*** |
Q\(^2\)(6) | 6528.1*** | 23465.1*** | 4038.3*** | 40460.8*** | 5904.1*** | 10990.2*** | 7094.9*** |
Q\(^2\)(12) | 10228.6*** | 45786.2*** | 7064.8*** | 74407.5*** | 9964.4*** | 19652.8*** | 8124.4*** |
Panel C: entire period (20 April 2022–29 May 2022) | |||||||
Mean | − 0.0006 | 0 | 0 | − 0.0239 | − 0.0064 | 0 | 0 |
Median | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Max | 2.5506 | 0.1 | 1.8215 | 608.336 | 43.8416 | 1.7807 | 6.3763 |
Min | − 1.8623 | − 0.1 | − 2.6808 | − 607.3849 | − 46.106 | − 1.7589 | − 6.4213 |
SD | 0.1098 | 0.0102 | 0.0471 | 37.451 | 1.2111 | 0.0433 | 0.0709 |
Skewness | 0.7357 | 0.0021 | − 1.8707 | − 0.0248 | 0.3521 | − 0.2256 | 0.7069 |
Excess Kurtosis | 27.246 | 70.5863 | 304.6165 | 220.2247 | 181.4897 | 272.5424 | 2488.7769 |
Jarque–Bera | 1.79*** | 11.96*** | 222.73*** | 116.40*** | 79.05*** | 178.27*** | 14865.63*** |
ADF | − 33.0*** | − 44.1*** | − 49.4*** | − 41.1*** | − 29.1*** | − 39.9*** | − 49.2*** |
ARCH(1) | 3424.5*** | 9740.3*** | 1456.8*** | 14949.5*** | 5578.0*** | 10893.0*** | 14188.9*** |
ARCH(6) | 6763.1*** | 16830.6*** | 8361.1*** | 23865.9*** | 7701.9*** | 12990.2*** | 23185.7*** |
ARCH(12) | 7490.7*** | 18902.5*** | 11344.4*** | 24880.7*** | 9667.5*** | 15311.5*** | 24562.2*** |
Q(6) | 26.1*** | 9233.3*** | 10516.0*** | 15441.7*** | 581.3*** | 8589.3*** | 13293.0*** |
Q(12) | 70.6*** | 9327.7*** | 10710.5*** | 15773.4*** | 667.0*** | 9097.4*** | 14135.8*** |
Q\(^2\)(6) | 13175.9*** | 48299.2*** | 8106.1*** | 81691.3*** | 12327.5*** | 22026.3*** | 14202.6*** |
Q\(^2\)(12) | 20655.8*** | 94295.5*** | 14136.6*** | 150341.0*** | 20902.1*** | 39178.6*** | 16264.7*** |