Skip to main content
Financial Innovation

Table 3 DQ test for CAViaR specification

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

 

BTC

ETC

USD

BNB

XRP

ADA

Stat

6.6172

7.1777

9.4612

7.3850

8.0579

5.2530

P-value

0.3577

0.3047

0.1492

0.2867

0.2338

0.5118

  1. BTC, Bitcoin; ETC, Ethereum; USD, Tether; BNB; Binance; XRP, XRP; ADA, Cardano. DQ is Engle and Manganelli's Dynamic Quantile test (2004) for adequacy of the estimated asymmetric slope CAViaR model. We use lagged violations lag q = 5
Back to article page