Financial Innovation

Table 4 Summary statistics of daily tail risk

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

	BTC	ETC	USD	BNB	XRP	ADA
Panel A: tail risk (CAViaR) at 1%
Mean	5.032	6.589	0.401	6.718	7.912	7.307
Max	12.033	18.681	5.703	28.76	2.1737	35.721
Min	1.896	2.888	0.003	1.817	29.805	2.767
Std. Dev	2.781	4.443	0.281	14.518	22.62	15.728
Skewness	1.229***	1.644***	4.140***	2.342***	1.772***	3.349***
Kurtosis	1.729***	4.575***	28.392***	6.722***	3.205***	15.488***
J-B	667.5***	2346.4***	64,653.1***	4962.0***	1687.2***	21,047.5***
ARCH (10)	5976.8***	3099.1***	385.85***	2703.4***	3558.0***	2085.4***
\({Q}^{2}(20)\)	8553.267***	7617.200***	2297.265***	7293.836***	7829.119***	6823.417***
ADF	− 2.088**	− 2.366**	− 7.136***	− 2.4106**	− 2.404**	− 2.600***
Panel B: tail risk (CAViaR) at 5%
Mean	2.698	3.765	0.227	3.760	3.923	4.472
Max	6.51390	10.745	3.25820	16.293	14.717	22.29
Min	1.015	1.649	0.002	1.010	1.079	1.691
Std. Dev	0.804	1.457	0.09	4.561	5.555	5.935
Skewness	1.237***	1.641***	4.137***	2.341***	1.768***	3.358***
Kurtosis	1.761***	4.529***	28.301***	6.716***	3.183***	15.582***
J-B	681.9***	2311.6***	64,262.2***	4953.6***	1673.0***	21,282.1***
ARCH (10)	5394.5***	3168.7***	329.3***	2572.2***	3584.5***	1894.7***
\({Q}^{2}(20)\)	8361.181***	7573.791***	2264.452***	7250.417***	7828.211***	6724.633***
ADF	− 2.093**	− 2.374**	− 7.197	− 2.402	− 2.390**	− 2.577***

This table reports the summary statistics of CAViaR at 1% and 5% using the asymmetric slope mode. 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. ** and *** indicate significance at 5% and 1% levels respectively

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