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Financial Innovation

Table 8 In-sample prediction

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

 

Predictor

FGCI

ADS

GPR

EPU

TEU

Panel A: tail risk (CAViaR) at 1%

Wald statistics

0.4628***

0.9825***

-0.0745***

0.0833***

0.1400***

(0.0027)

(0.0164)

(0.0014)

(0.0008)

(0.0045)

Panel B: tail risk (CAViaR) at 5%

Wald statistics

0.5086***

0.3966***

0.0863***

0.0618***

0.1221***

(0.0027)

(0.0168)

(0.0015)

(0.0081)

(0.0031)

  1. Wald statistics testing the null hypothesis of predictability that \(\sum_{i=1}^{7}{\beta }_{i}=0.\) A rejection of the null hypothesis implies the predictability of the independent variables for tail-risk interdependence. Values in parentheses represent standard errors. *, ** and *** indicate significance at 10%, 5% and 1% levels respectively
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