Table 9 Definition of the potential drivers of total volatility connectedness among exchanges (continued)
From: Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
Category | Variables | Description | |
|---|---|---|---|
Exchanges | Volatility | RV_CB_BTC/RV_CB_ETH/RV_CB_LTC | The realized variance of BTC /ETH/LTC in Coinbase |
RV_OE_BTC/RV_OE_ETH/RV_OE_LTC | The realized variance of BTC /ETH/LTC in OKEx | ||
Cryptocurrency | Network concern | PV_BTC/PV_ETH/PV_LTC | The number of Wikipedia search for the keyword, “Bitcoin” / “Ethereum” / “Litecoin” |
Volatility | BTC_Volatility/ETH_Volatility/LTC_Volatility | The volatility of BTC /ETH/LTC, which is calculated by the change in the squared log return | |
Markets | SPCC10 | S&P Cryptocurrency Top 10 Equal Weight Index | |
Technical indicators | bt_BTC/bt_ETH/bt_LTC | Average block time in minutes | |
hr_BTC/hr_ETH /hr_LTC | Hashrate | ||
tx_BTC/tx_ETH /tx_LTC | Number of transactions in blockchain | ||
fee_BTC/fee_ETH /fee_LTC / | Average transaction fee, USD | ||
Traditional financial markets | GSCI_Gold | GSCI_Gold index | |
GSCI_Energy | GSCI_Energy index | ||
VIXCLOSE | VIX daily close price | ||
MSCI_World | The Morgan Stanley Capital International World (MSCI_World) index | ||
Macroeconomy | GEPU_ppp | The Global Economic Policy Uncertainty index | |
ElePrice | The average retail price of electricity of all sections in USA | ||