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Table 4 BEKK dynamic conditional covariance coefficients and contagion effect tests

From: Intelligent design: stablecoins (in)stability and collateral during market turbulence

 

Mean

Variance

T-statistic

Pre-collapse BEKK covariance UST_BTC

0.0013

0.0003

24.64***

Collapse BEKK covariance UST_BTC

− 0.0084

0.0042

Pre-collapse BEKK covariance UST_BUSD

− 0.0009

0.0004

− 24.71***

Collapse BEKK covariance UST_BUSD

0.0087

0.0040

Pre-collapse BEKK covariance UST_DAI

0.0052

0.0003

− 23.96***

Collapse BEKK covariance UST_DAI

0.0141

0.0037

Pre-collapse BEKK covariance UST_LUNA

− 0.0038

0.0001

− 44.15***

Collapse BEKK covariance UST_LUNA

0.0091

0.0023

Pre-collapse BEKK covariance UST_USDT

0.0009

0.0004

− 14.78***

Collapse BEKK covariance UST_USDT

0.0072

0.0048

Pre-collapse BKK covariance UST_USDC

− 0.0004

0.0004

− 3.84***

Collapse BEKK covariance UST_USDC

0.0011

0.0041

  1. Pre-collapse period is from 20.04.2022 to 09.05.2022. Collapse period is from 10.05.2022 to 29.05.2022. Entire period is from 20.04.2022 to 29.05.2022. ***Indicates the significance level at 1%