Table 12 Stepwise regression results

Panel 1: BTC’s total volatility connectedness as dependent variable

Lagged RES_OE_BTC

Level

0.0000147^**

(2.49)

Lagged LnVolBF

Δ

0.0000110**

(2.07)

Lagged RES_CB_BTC

Level

 − 0.0000133**

( − 2.29)

Lagged LnVolOE

Δ

 − 0.0000223**

( − 2.36)

_cons

0.00000351

(1.28)

R-squared

0.0271

Adj-r2

0.0188

Observations

472

Panel 2: ETH’s total volatility connectedness as dependent variable

Lagged LnGSCI_Energy

Δ

0.000281*

(1.67)

Lagged lnRV_BN_ETH

Δ

 − 0.000284***

( − 2.61)

Lagged lnRV_OE_ETH

Δ

0.000234**

(2.16)

Lagged LnVolCB

Δ

0.0000281***

(2.60)

Lagged Lnbt_ETH

Level

 − 0.000532**

( − 2.04)

Lagged RES_CB_ETH

Level

 − 0.0000214***

( − 3.20)

Lagged RES_BN_ETH

Level

0.0000219***

(3.20)

_cons

0.000111**

(2.06)

R-squared

0.0596

Adj-r2

0.0454

Observations

472

Panel 3: LTC’s total volatility connectedness as dependent variable

Lagged LnTotal_ltc

Δ

 − 0.202***

( − 4.20)

Lagged LnPV_OE

Δ

 − 0.00000734**

( − 2.57)

Lagged LnPV_LTC

Δ

0.0000306**

(2.22)

_cons

0.00000131

(0.80)

R-squared

0.068

Adj-r2

0.062

Observations

472