Table 11 Robust test for determinants of the total volatility connectedness for four exchanges

Lagged LnTotal

0.678***

0.730***

0.824***

0.752***

(6.41)

(7.64)

(10.26)

(7.93)

Lagged RE_LTC

0.0169**

0.0119*

 − 0.00819

0.00921

(2.00)

(1.72)

( − 0.64)

(1.34)

Lagged RE_XLM

 − 0.0244***

 − 0.0217***

 − 0.00734

 − 0.0188**

( − 2.96)

( − 3.03)

( − 0.96)

( − 2.39)

Lagged LnVolLTC

 − 0.000685

 − 0.000191

0.000331

0.0000793

( − 1.10)

( − 0.26)

(0.29)

(0.08)

Lagged LnVolXLM

0.00170**

0.000445

0.00131**

0.000362

(2.31)

(0.47)

(2.42)

(0.41)

Lagged LnVolXRP

 − 0.0000615

0.000873

 − 0.00209

0.000548

( − 0.20)

(0.82)

( − 1.43)

(0.74)

Lagged LnPV_ETH

 − 0.00612**

 − 0.00685**

 − 0.00582

 − 0.00731***

( − 2.06)

( − 2.22)

( − 1.14)

( − 2.64)

Lagged LnMSCI_World

 − 0.274**

 − 0.246**

 − 0.0354

 − 0.230**

( − 2.55)

( − 2.22)

( − 0.31)

( − 2.41)

Lagged LnSP_500

0.274**

0.267**

0.0729

0.257**

(2.46)

(2.23)

(0.69)

(2.47)

Lagged LnLBMA_Gold

0.0862***

0.0654***

0.0312

0.0618**

(2.88)

(2.76)

(1.32)

(2.63)

Lagged LnGEPU_current

0.0120**

0.0118**

0.0104**

0.0102**

(2.26)

(2.43)

(2.17)

(2.01)

Lagged LnElePrice_ind

0.214***

0.185**

0.147**

0.182**

(2.77)

(2.41)

(2.56)

(2.37)

_cons

0.185

0.0102

 − 0.0972

 − 0.0781

(0.65)

(0.03)

( − 0.26)

( − 0.24)

R-squared

0.987

0.986

0.984

0.987

Observations

99

99

99

99