Time-varying spillovers in high-order moments among cryptocurrencies

Financial Innovation

Table 5 Summary of net directional spillovers

	Net directional spillovers
	Volatility connectedness network		Skewness connectedness network		Kurtosis connectedness network
Bitcoin	− 5.13	Net receiver	− 2.05	Net receiver	− 3.57	Net receiver
Ethereum	4.19	Net transmitter	− 5.07	Net receiver	− 3.58	Net receiver
Binance	16.52	Net transmitter	2.04	Net transmitter	0.73	Net transmitter
Cardano	− 3.95	Net receiver	1.21	Net transmitter	0.13	Net transmitter
Litecoin	− 3.55	Net receiver	6.11	Net transmitter	8.83	Net transmitter
Ripple	− 8.09	Net receiver	− 2.24	Net receiver	− 2.55	Net receiver

The spillover indices are calculated following the methodology of Antonakakis et al. (2020). Net directional spillovers are calculated by Eq. 18. To estimate TVP-VAR parameters, we follow Kumar et al. (2022) and rely on Akaike Information Criterion (AIC) in choosing lags where GFEVD is built on a 100-days ahead forecast. Further, Bayes prior size was set to 200 days, and following Antonakakis et al. (2020), forgetting factors used in the Kelman Filter are 0.99 for VAR forgetting factor and 0.96 for the Exponentially Weighted Moving Average (EWMA) forgetting factor. The results are in percentages