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Financial Innovation

Table 2 Summary statistics of daily returns

From: Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes

 

BTC

ETC

USD

BNB

XRP

ADA

Mean

0.025

0.036

− 0.0002

0.121

0.014

0.066

Max

9.776

10.194

2.458

22.983

26.356

37.416

Min

− 20.183

− 23.918

− 2.283

− 23.585

− 23.908

− 21.872

Std. Dev

1.778

2.255

0.200

2.596

2.797

2.981

Skewness

− 0.807

− 0.910

0.693

0.385

0.832

1.925

Kurtosis

14.711

12.509

46.080

17.428

19.391

26.630

J-B

10,330.2***

6929.4***

1.373e + 5***

15,433.9***

20,065.1***

42,373.3***

ARCH (10)

3.989***

4.573***

76.455***

26.072***

14.922***

14.816***

\({Q}^{2}(20)\)

59.158***

57.085***

562.959***

418.604***

295.830***

618.403***

ADF

− 23.857***

− 23.135***

− 36.939***

− 23.318***

− 23.385***

− 21.161***

  1. BTC, Bitcoin; ETC, Ethereum; USD, Tether; BNB; Binance; XRP, XRP; ADA, Cardano. J–B is the Jarque–Bera test normality. ARCH LM is the ARCH Lagrange Multiplier test of conditional heteroskedasticity with 10 lags. \({Q}^{2}\left(20\right)\) is the Ljung-Box test of serial correlation on squared returns with 20 lags. ADF is the Augmented Dickey-Fuller unit root test. *** indicates significance at 1% level
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