Table 4 Dynamic conditional correlation GARCH (DCC-MGARCH)
From: The implication of cryptocurrency volatility on five largest African financial system stability
| Â | Bitcoin (BTC) | Ethereum (ETH) | Ripple (XRP) |
|---|---|---|---|
S_Africa | |||
δ | 0.0023 (0.0125**) | 0.0024(0.1672) | 0.0054(0.0291**) |
α | 0.1697 (0.0032***) | 0.1659(0.0092***) | 0.1655(0.0017***) |
β | 0.5521 (0.0003***) | 0.5521(0.0381**) | 0.5682(0.0017***) |
Nigeria | |||
δ | 0.0002 (0.0021***) | 0.0001(0.0379**) | 0.0004(0.0753*) |
α | 0.2836 (0.0266**) | 0.2836(0.0481**) | 0.2888(0.0371**) |
β | 0.5234 (0.0000***) | 0.5234(0.0000***) | 0.4634(0.0000***) |
Kenya | |||
δ | 0.0002 (0.0026***) | 0.0002(0.0023***) | 0.0001(0.0093***) |
α | 0.2616(0.0038***) | 0.2617(0.0072***) | 0.2737(0.0002***) |
β | 0.5473 (0.0000***) | 0.5482(0.0000***) | 0.4459(0.0000***) |
Egypt | |||
δ | 0.0003(0.0052***) | 0.0053(0.0282**) | 0.0053(0.0282**) |
α | 0.2634(0.0427**) | 0.35884(0.0227**) | 0.3684(0.0458**) |
β | 0.3567(0.0281**) | 0.3367(0.0241**) | 0.2667(0.0541**) |
Morocco | |||
δ | 0.0015(0.0497**) | 0.0005(0.0477**) | 0.0001(0.1954**) |
α | 0.1286(0.0156***) | 0.2286(0.0156***) | 0.1886(0.0131***) |
β | 0.6762(0.0000***) | 0.5592(0.0000***) | 0.6442(0.0000***) |
DCC_BTC | |||
Dcc(θ1) | 0.0361 (0.0092***) | 0.0138(0.0624*) | 0.00329(0.0692*) |
Dcc(θ2) | 0.6038(0.0001***) | 0.6893(0.0000***) | 0.6668(0.0008***) |