Fig. 3
From: Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
The dynamic composition of total cryptocurrency volatility connectedness for 4 exchanges. Notes: This figure illustrates the moving-window estimation of total connectedness for Bitfinex, Binance, Coinbase and OKEx in the time domain and frequency domain. The estimation window is set at 180 days (half a year). The green line is the S&P Cryptocurrency Top 10 Equal Weight Index (USD). The Overall connectedness is estimated based on Diebold and Yilmaz (2012). The total connectedness can be decomposed into 1–5 days, 5–22 days and 22 + days terms based on BarunÃk and KrehlÃk (2018), corresponding to high-frequency, medium-frequency and low-frequency band respectively