Heterogeneity in the volatility spillover of cryptocurrencies and exchanges

Wu, Meiyu; Wang, Li; Yang, Haijun

doi:10.1186/s40854-023-00585-0

Financial Innovation

Table 3 Cryptocurrency volatility connectedness matrix for 4 exchanges in a time domain and frequency domain

From: Heterogeneity in the volatility spillover of cryptocurrencies and exchanges

Diebold and Yilmaz (2012) Connectedness
Panel A: Bitfinex								Panel B: Binance								Panel C: Coinbase								Panel D: OKEx
	BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM
BTC	22.86	14.75	18.13	19.08	11.59	13.6	12.86	BTC	22.05	14.9	18.74	19.34	11.16	13.8	12.99	BTC	22.51	14.7	19.18	19.49	10.84	13.29	12.92	BTC	22.28	14.68	18.92	19.35	10.85	13.92	12.95
EOS	10.3	23.42	16.38	21.11	13.21	15.59	12.76	EOS	11.17	23.33	17.15	21.28	11.91	15.17	12.78	EOS	10.89	24.07	16.91	20.91	12.42	14.8	12.65	EOS	10.89	23.46	17.15	21.32	11.94	15.24	12.76
ETH	12.71	16.96	22.82	20.03	12.82	14.67	12.87	ETH	13.06	17.22	22.9	20.14	12.07	14.61	12.85	ETH	13.53	17.26	23.24	19.64	11.96	14.38	12.79	ETH	12.95	17.06	23.01	20.22	12.04	14.72	12.83
LTC	11.04	17.29	17.11	25.68	13.57	15.32	12.39	LTC	11.88	17.28	17.75	26.04	12.12	14.93	12.33	LTC	12.43	17.41	17.82	25.68	12.17	14.49	12.39	LTC	11.7	17.24	17.71	26.35	11.82	15.19	12.28
XLM	8.04	15.99	15.43	19.14	24.36	17.04	12.61	XLM	8.83	15.68	16.67	18.47	22.46	17.9	12.92	XLM	8.17	16.52	15.99	18.1	23.95	17.28	12.68	XLM	8.37	15.62	16.52	18.65	22.8	18.04	12.87
XRP	8.88	15.03	14.71	19.52	15.92	25.94	12.34	XRP	9.47	15.46	15.41	19.44	15.6	24.62	12.56	XRP	9.81	15.27	16	18.66	15.73	24.52	12.58	XRP	9.27	15.35	15.42	19.51	15.48	24.97	12.5
TO	8.49	13.33	13.63	16.48	11.19	12.7	75.82	TO	9.07	13.42	14.29	16.45	10.48	12.73	76.44	TO	9.14	13.53	14.32	16.13	10.52	12.37	76.01	TO	8.86	13.32	14.29	16.51	10.36	12.85	76.19
NET	− 4.36	0.57	0.76	4.09	− 1.42	0.36		NET	− 3.92	0.64	1.44	4.12	− 2.45	0.17		NET	− 3.78	0.87	1.52	3.75	− 2.15	− 0.21		NET	− 4.09	0.57	1.46	4.23	− 2.51	0.35

Baruník and Křehlík (2018) Connectedness
The spillover table for band: 3.14 to 0.63, roughly corresponds to 1 days to 5 days
Panel E: Bitfinex								Panel F: Binance								Panel G: Coinbase								Panel H: OKEx
	BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM
BTC	3.76	1.21	1.71	1.27	1.19	0.88	1.04	BTC	3.22	1.10	1.53	1.08	1.26	0.79	0.96	BTC	3.60	1.19	1.82	1.39	1.08	1.02	1.08	BTC	3.46	1.18	1.70	1.17	1.29	0.84	1.03
EOS	1.55	2.94	1.52	1.44	1.31	1.29	1.19	EOS	1.47	2.74	1.54	1.29	1.49	1.24	1.17	EOS	1.55	2.96	1.61	1.47	1.44	1.47	1.26	EOS	1.57	2.99	1.65	1.39	1.61	1.33	1.26
ETH	1.81	1.30	2.57	1.21	1.15	1.01	1.08	ETH	1.64	1.20	2.18	1.04	1.26	0.93	1.01	ETH	1.93	1.36	2.54	1.33	1.31	1.25	1.19	ETH	1.75	1.25	2.32	1.09	1.29	0.96	1.06
LTC	1.35	1.17	1.12	1.78	0.89	0.74	0.88	LTC	1.33	1.13	1.16	1.74	1.11	0.73	0.91	LTC	1.64	1.33	1.43	2.18	1.16	1.02	1.10	LTC	1.43	1.21	1.27	1.87	1.18	0.81	0.98
XLM	1.01	0.68	0.63	0.53	2.02	0.83	0.62	XLM	1.11	0.71	0.74	0.55	2.07	0.96	0.68	XLM	1.00	0.69	0.79	0.59	2.30	1.17	0.71	XLM	1.11	0.72	0.76	0.53	2.09	0.94	0.68
XRP	1.16	1.39	1.09	0.89	1.30	2.66	0.97	XRP	1.19	1.38	1.17	0.89	1.74	2.74	1.06	XRP	1.27	1.50	1.33	1.04	1.69	2.99	1.14	XRP	1.28	1.46	1.28	0.97	1.80	2.96	1.13
TO	1.15	0.96	1.01	0.89	0.97	0.79	5.77	TO	1.12	0.92	1.02	0.81	1.14	0.77	5.79	TO	1.23	1.01	1.16	0.97	1.11	0.99	6.47	TO	1.19	0.97	1.11	0.86	1.20	0.81	6.14
NET	0.11	− 0.23	− 0.07	0.01	0.36	− 0.18		NET	0.16	− 0.25	0.01	− 0.10	0.46	− 0.29		NET	0.15	− 0.25	− 0.03	− 0.13	0.40	− 0.15		NET	0.16	− 0.29	0.05	− 0.12	0.52	− 0.32

The spillover table for band: 0.63 to 0.14, roughly corresponds to 5 days to 22 days
Panel I: Bitfinex								Panel J: Binance								Panel K: Coinbase								Panel L: OKEx
	BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM
BTC	1.46	0.37	0.54	0.42	0.39	0.27	0.33	BTC	1.21	0.31	0.45	0.34	0.40	0.21	0.28	BTC	1.19	0.42	0.55	0.42	0.36	0.28	0.34	BTC	1.33	0.35	0.51	0.39	0.45	0.24	0.32
EOS	0.39	0.75	0.31	0.29	0.31	0.29	0.26	EOS	0.34	0.68	0.32	0.25	0.36	0.30	0.26	EOS	0.34	0.75	0.38	0.28	0.33	0.38	0.29	EOS	0.40	0.75	0.37	0.28	0.41	0.33	0.30
ETH	0.60	0.29	0.74	0.28	0.26	0.20	0.27	ETH	0.48	0.26	0.62	0.24	0.28	0.18	0.24	ETH	0.61	0.35	0.79	0.31	0.30	0.28	0.31	ETH	0.55	0.28	0.68	0.26	0.30	0.19	0.26
LTC	0.39	0.26	0.21	0.42	0.16	0.14	0.19	LTC	0.34	0.23	0.21	0.38	0.19	0.13	0.18	LTC	0.46	0.34	0.32	0.49	0.22	0.22	0.26	LTC	0.38	0.25	0.24	0.42	0.22	0.15	0.21
XLM	0.36	0.24	0.29	0.14	0.90	0.26	0.21	XLM	0.38	0.25	0.31	0.17	0.89	0.32	0.24	XLM	0.31	0.27	0.41	0.17	0.93	0.40	0.26	XLM	0.39	0.28	0.33	0.18	0.96	0.34	0.25
XRP	0.41	0.47	0.40	0.16	0.50	0.95	0.32	XRP	0.37	0.46	0.42	0.15	0.71	1.03	0.35	XRP	0.36	0.54	0.49	0.17	0.66	1.10	0.37	XRP	0.38	0.48	0.44	0.17	0.73	1.05	0.37
TO	0.36	0.27	0.29	0.21	0.27	0.20	1.60	TO	0.32	0.25	0.29	0.19	0.33	0.19	1.56	TO	0.35	0.32	0.36	0.23	0.31	0.26	1.82	TO	0.35	0.28	0.32	0.21	0.35	0.21	1.71
NET	0.02	0.01	0.02	0.02	0.06	− 0.13		NET	0.03	− 0.01	0.04	0.01	0.09	− 0.16		NET	0.01	0.04	0.05	− 0.03	0.05	− 0.11		NET	0.03	− 0.02	0.05	0.01	0.10	− 0.16

The spillover table for band: 0.14 to 0.00, roughly corresponds to 22 days to Inf days
Panel M: Bitfinex								Panel N: Binance								Panel O: Coinbase								Panel P: OKEx
	BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM		BTC	EOS	ETH	LTC	XLM	XRP	FROM
BTC	17.63	13.17	15.88	17.39	10.02	12.44	11.48	BTC	17.61	13.49	16.77	17.92	9.5	12.81	11.75	BTC	17.72	13.09	16.81	17.67	9.41	11.99	11.5	BTC	17.48	13.15	16.7	17.79	9.11	12.84	11.6
EOS	8.36	19.73	14.55	19.37	11.59	14.01	11.31	EOS	9.36	19.91	15.29	19.74	10.06	13.63	11.35	EOS	9	20.35	14.91	19.16	10.65	12.95	11.11	EOS	8.92	19.72	15.13	19.65	9.93	13.58	11.2
ETH	10.3	15.37	19.51	18.54	11.41	13.45	11.51	ETH	10.94	15.75	20.09	18.87	10.53	13.5	11.6	ETH	11	15.55	19.91	18	10.35	12.84	11.29	ETH	10.65	15.53	20.02	18.87	10.45	13.56	11.51
LTC	9.3	15.86	15.78	23.48	12.51	14.44	11.31	LTC	0.21	15.91	16.38	23.91	10.82	14.07	11.23	LTC	10.33	15.74	16.07	23.01	10.8	13.25	11.03	LTC	9.89	15.78	16.19	24.07	10.43	14.23	11.09
XLM	6.67	15.07	14.5	18.48	21.45	15.95	11.78	XLM	7.34	14.72	15.62	17.76	19.49	16.62	12.01	XLM	6.86	15.56	14.78	17.34	20.71	15.71	11.71	XLM	6.86	14.62	15.43	17.94	19.75	16.77	11.94
XRP	7.32	13.16	13.22	18.48	14.12	22.33	11.05	XRP	7.91	13.62	13.81	18.41	13.15	20.85	11.15	XRP	8.19	13.23	14.18	17.46	13.38	20.42	11.07	XRP	7.6	13.41	13.7	18.37	12.95	20.96	11.01
TO	6.99	12.1	12.32	15.38	9.94	11.71	68.45	TO	7.63	12.25	12.98	15.45	9.01	11.77	69.08	TO	7.56	12.19	12.79	14.94	9.1	11.12	67.71	TO	7.32	12.08	12.86	15.44	8.81	11.83	68.34
NET	− 4.49	0.79	0.81	4.06	− 1.84	0.67		NET	− 4.12	0.90	1.38	4.22	− 3.00	0.62		NET	− 3.93	1.08	1.50	3.91	− 2.61	0.05		NET	− 4.28	0.88	1.35	4.35	− 3.13	0.83

This table presents the volatility spillovers among 6 cryptocurrencies in 4 exchanges in the time domain and frequency domain. This result uses the daily realized volatility data for each market. Each item in j-th row of the k-th column indicates the influence of the k-th market’s innovations on the j-th market’s forecast error variance. The "FROM" ("TO") in Baruník and Křehlík (2018) refer to the FROM_ABS (TO_ABS)

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