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

Financial Innovation

Table 6 Summary statistics for variables used in prediction regressions

	TCI (1%)	TCI (5%)	FGCI	ADS	GPR	EPU	TEU
Mean	65.520	65.189	43.007	− 0.313	99.483	158.464	154.084
Max	98.024	97.92	95.000	8.989	539.583	861.100	1134.894
Min	22.033	21.178	5.000	− 26.332	3.570	4.050	8.883
Std. Dev	15.268	15.849	22.679	4.153	60.922	118.927	126.612
Skewness	− 0.175	− 0.264	0.540	− 4.093	2.327	2.136	2.814
Kurtosis	3.559	2.232	2.283	25.040	12.603	8.479	13.805
J-B	30.6***	24.631***	118.4***	38,946.7***	8024.6***	3400.5***	10,458.6***
ADF	− 2.787**	− 2.060**	− 4.741***	− 4.647***	− 3.706***	− 2.801**	− 3.646***

TCI, total connectedness index; FGCI, Fear & Greed Crypto Index; ADS, Aruoba-Diebold-Scotti business condition index; GPR, geopolitical risk index; EPU, economic policy uncertainty, index; TEU, Twitter-based economic uncertainty index. J-B is the Jarque–Bera test normality. ADF is the Augmented Dickey-Fuller unit root test. *** indicates significance at 1% level