Heterogeneity in the volatility spillover of cryptocurrencies and exchanges

Financial Innovation

Table 4 Exchanges’ volatility connectedness matrix for 6 coins in the time domain and frequency domain

Baruník and Křehlík (2018)
The spillover table for band: 3.14 to 0.63, roughly corresponds to 1 days to 5 days
Panel G: BTC						Panel H: EOS						Panel I: ETH						Panel J: LTC						Panel K: XLM						Panel L: XRP
	BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM
BF	3.06	2.77	2.86	2.88	2.13	BF	1.35	1.35	1.22	1.37	0.99	BF	1.02	0.91	0.90	0.93	0.68	BF	0.88	0.89	0.88	0.89	0.67	BF	0.74	0.69	0.56	0.66	0.48	BF	0.83	0.86	0.79	0.87	0.63
BN	2.63	2.56	2.56	2.61	1.95	BN	1.33	1.43	1.26	1.43	1.01	BN	0.86	0.94	0.90	0.95	0.68	BN	0.94	1.02	0.99	1.00	0.73	BN	0.58	0.91	0.71	0.84	0.53	BN	0.93	1.06	0.95	1.05	0.73
CB	2.85	2.69	2.82	2.79	2.08	CB	1.14	1.19	1.19	1.21	0.89	CB	0.84	0.89	0.89	0.92	0.66	CB	0.94	0.99	1.01	0.99	0.73	CB	0.53	0.83	0.83	0.78	0.54	CB	0.87	0.97	0.97	0.97	0.70
OE	2.79	2.67	2.71	2.78	2.04	OE	1.39	1.47	1.32	1.51	1.05	OE	0.89	0.96	0.93	0.98	0.69	OE	0.96	1.03	1.01	1.06	0.75	OE	0.57	0.87	0.69	0.87	0.53	OE	0.99	1.10	1.01	1.14	0.78
TO	2.07	2.03	2.03	2.07	8.20	TO	0.96	1.00	0.95	1.00	3.92	TO	0.65	0.69	0.68	0.70	2.72	TO	0.71	0.73	0.72	0.72	2.88	TO	0.42	0.60	0.49	0.57	2.08	TO	0.70	0.73	0.69	0.72	2.84
NET	− 0.06	0.08	− 0.05	0.03		NET	− 0.02	0.00	0.07	− 0.04		NET	− 0.04	0.01	0.02	0.01		NET	0.04	0.00	− 0.01	− 0.03		NET	− 0.06	0.07	− 0.05	0.04		NET	0.07	0.00	− 0.02	− 0.06

The spillover table for band: 0.63 to 0.14, roughly corresponds to 5 days to 22 days
Panel M: BTC						Panel N: EOS						Panel O: ETH						Panel P: LTC						Panel Q: XLM						Panel R: XRP
	BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM
BF	0.95	0.82	0.84	0.89	0.64	BF	0.34	0.34	0.27	0.34	0.24	BF	0.22	0.21	0.21	0.22	0.16	BF	0.18	0.20	0.19	0.21	0.15	BF	0.21	0.21	0.15	0.22	0.15	BF	0.17	0.20	0.17	0.20	0.14
BN	0.82	0.75	0.74	0.81	0.59	BN	0.33	0.36	0.28	0.36	0.24	BN	0.20	0.22	0.21	0.23	0.16	BN	0.21	0.25	0.24	0.25	0.17	BN	0.20	0.35	0.26	0.35	0.20	BN	0.18	0.28	0.25	0.28	0.18
CB	0.88	0.78	0.81	0.85	0.63	CB	0.26	0.27	0.25	0.28	0.20	CB	0.19	0.20	0.20	0.21	0.15	CB	0.19	0.23	0.23	0.23	0.16	CB	0.15	0.28	0.26	0.28	0.18	CB	0.14	0.22	0.24	0.23	0.15
OE	0.87	0.79	0.79	0.86	0.61	OE	0.36	0.38	0.30	0.39	0.26	OE	0.21	0.22	0.21	0.24	0.16	OE	0.22	0.26	0.24	0.27	0.18	OE	0.19	0.33	0.24	0.36	0.19	OE	0.19	0.28	0.26	0.30	0.18
TO	0.64	0.60	0.59	0.64	2.47	TO	0.24	0.25	0.21	0.25	0.94	TO	0.15	0.16	0.16	0.17	0.63	TO	0.15	0.17	0.17	0.17	0.67	TO	0.13	0.21	0.16	0.21	0.71	TO	0.13	0.18	0.17	0.18	0.65
NET	0.00	0.00	− 0.03	0.03		NET	0.00	0.01	0.01	− 0.02		NET	− 0.01	0.00	0.01	0.00		NET	0.00	0.00	0.00	− 0.01		NET	− 0.01	0.01	− 0.01	0.02		NET	− 0.01	0.00	0.02	− 0.01

The spillover table for band: 0.14 to 0.00, roughly corresponds to 22 days to Inf days
Panel S: BTC						Panel T: EOS						Panel U: ETH						Panel V: LTC						Panel W: XLM						Panel X: XRP
	BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM		BF	BN	CB	OE	FROM
BF	20.43	22.04	21.34	21.13	16.13	BF	23.54	22.87	24.49	22.53	17.47	BF	23.48	23.93	24.43	23.54	17.98	BF	24.81	23.54	23.90	23.43	17.72	BF	26.83	22.24	24.99	22.51	17.43	BF	25.47	23.28	24.12	23.05	17.61
BN	20.48	22.65	21.81	21.59	15.97	BN	23.39	22.89	24.41	22.52	17.58	BN	23.33	24.05	24.47	23.65	17.86	BN	24.49	23.48	23.77	23.35	17.90	BN	24.69	23.13	24.34	23.66	18.17	BN	24.82	23.26	23.96	22.97	17.94
CB	20.29	22.28	21.69	21.28	15.96	CB	23.57	22.96	25.06	22.63	17.29	CB	23.41	24.04	24.59	23.64	17.77	CB	24.54	23.43	23.88	23.34	17.83	CB	25.67	22.28	25.48	22.63	17.64	CB	24.88	23.18	24.39	22.93	17.75
OE	20.34	22.38	21.59	21.44	16.08	OE	23.30	22.77	24.34	22.46	17.60	OE	23.30	24.00	24.42	23.64	17.93	OE	24.44	23.41	23.73	23.37	17.89	OE	24.73	23.08	24.25	23.83	18.01	OE	24.76	23.13	23.89	22.94	17.95
TO	15.28	16.67	16.18	16.00	64.13	TO	17.56	17.15	18.31	16.92	69.94	TO	17.51	17.99	18.33	17.71	71.54	TO	18.37	17.59	17.85	17.53	71.34	TO	18.77	16.90	18.39	17.20	71.26	TO	18.62	17.40	17.99	17.24	71.24
NET	− 0.85	0.71	0.22	− 0.08		NET	0.09	− 0.43	1.02	− 0.68		NET	− 0.46	0.13	0.56	− 0.22		NET	0.65	− 0.31	0.02	− 0.37		NET	1.34	− 1.27	0.75	− 0.81		NET	1.00	− 0.54	0.25	− 0.71

This table presents the volatility spillover among 4 exchanges for 6 cryptocurrency markets in the time domain and frequency domain. Panel A to Panel F is the volatility spillover result for BTC, EOS, ETH, LTC, XLM and XRP based on the Diebold and Yilmaz (2012) approach. Panel G, Panel M, and Panel S are the frequency decomposition of Panel A. Panel H, Panel N, and Panel T are the frequency decomposition of Panel B. Panel I, Panel O, and Panel U are the frequency decomposition of Panel C. Panel J, Panel P, and Panel V are the frequency decomposition of Panel D. Panel K, Panel Q, and Panel W are the frequency decomposition of Panel E. Panel L, Panel R, and Panel X are the frequency decomposition of Panel F. 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)