Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

Mensi, Walid; Gubareva, Mariya; Ko, Hee-Un; Vo, Xuan Vinh; Kang, Sang Hoon

doi:10.1186/s40854-023-00498-y

Financial Innovation

Table 2 Estimates of quantile spillovers between cryptocurrency returns and volatility indices

From: Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

	BTC	ETH	LTC	XRP	BCH	VIX	OVX	GVZ	FROM
Panel A: Lower quantile \(\left(\tau =0.05\right)\)
BTC	17.24	15.29	15.12	12.52	14.61	7.82	8.02	9.37	82.76
ETH	15.02	17.33	15.46	12.75	14.69	7.86	7.75	9.14	82.67
LTC	14.99	15.39	17.37	12.76	15.22	7.63	7.55	9.09	82.63
XRP	13.48	13.68	14.12	18.43	13.41	8.66	8.63	9.59	81.57
BCH	14.73	15.31	15.54	12.87	17.1	7.84	7.58	9.03	82.9
VIX	9.93	9.76	9.7	9.7	9.28	22.84	13.76	15.04	77.16
OVX	10.26	10.11	10.08	10.16	9.63	14.03	22.31	13.41	77.69
GVZ	10.77	10.54	10.71	10.5	10.22	13.89	12.2	21.17	78.83
TO	89.18	90.08	90.73	81.25	87.06	67.74	65.49	74.66	646.2
ALL	106.42	107.41	108.1	99.68	104.16	90.58	87.81	95.84	TCI
NET	6.42	7.41	8.1	− 0.32	4.16	− 9.42	− 12.19	− 4.16	80.78
Panel B: Median quantile \(\left(\tau =0.5\right)\)
BTC	30.69	20.4	19.59	8.1	18.26	2.01	0.71	0.24	69.31
ETH	19.43	29.44	20.34	9.16	19	1.88	0.56	0.18	70.56
LTC	18.66	20.34	29.09	8.96	20.48	1.83	0.5	0.14	70.91
XRP	11.8	14.11	13.88	43.66	13.61	1.68	0.68	0.58	56.34
BCH	17.7	19.44	20.95	9.17	30.4	1.67	0.47	0.19	69.6
VIX	3.66	3.5	3.48	2.19	3.19	63.44	8.81	11.72	36.56
OVX	1.54	1.29	1.17	0.85	1.07	10.7	76.54	6.84	23.46
GVZ	0.51	0.34	0.28	0.94	0.45	13.8	6.77	76.91	23.09
TO	73.3	79.42	79.7	39.38	76.08	33.56	18.5	19.89	419.83
ALL	103.99	108.87	108.78	83.03	106.48	97	95.04	96.81	TCI
NET	3.99	8.87	8.78	− 16.97	6.48	− 3	− 4.96	− 3.19	52.48
Panel C: Upper quantile \(\left(\tau =0.95\right)\)
BTC	16.79	14.6	14.45	11.68	14.99	8.29	9.26	9.93	83.21
ETH	14.48	16.95	14.74	11.97	15.01	8.19	8.81	9.83	83.05
LTC	14.39	14.55	16.45	11.59	15.24	8.27	9.47	10.05	83.55
XRP	13.35	13.7	13.65	18.06	13.99	8.5	8.92	9.83	81.94
BCH	14.55	14.47	14.68	11.87	17.71	8.03	9.01	9.68	82.29
VIX	10.52	10.45	10.59	9.7	10.8	19.17	13.96	14.82	80.83
OVX	10.62	10.51	10.74	9.36	10.77	13.83	20.39	13.77	79.61
GVZ	11.11	11.07	10.8	9.49	11.15	13.75	12.99	19.65	80.35
TO	89.02	89.35	89.65	75.65	91.96	68.87	72.42	77.92	654.83
ALL	105.82	106.3	106.09	93.71	109.67	88.04	92.82	97.56	TCI
NET	5.82	6.3	6.09	− 6.29	9.67	− 11.96	− 7.18	− 2.44	81.85

The connectedness table is based on a quantile VAR model with lag length of order 1 (BIC) and a 10-step-ahead forecast

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