Table 5 Results of Total Volatility Spillovers Using BarunÃk and KÅ™ehlÃk (2018) Model
From: Volatility spillovers among leading cryptocurrencies and US energy and technology companies
The spillover band: 3.14 to 0.79 (short term, 1Â day to 4Â days) | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Â | BTC | ETH | USDT | BNB | AAPL | MSFT | GOOGL | AMZN | XOM | CVX | COP | NEE | FROM ABS | FROM WTH |
BTC | 0.19 | 0.08 | 0.02 | 0.07 | 0.01 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.02 | 4.25 |
ETH | 0.09 | 0.16 | 0.02 | 0.06 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.02 | 4.10 |
USDT | 0.00 | 0.01 | 0.06 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.80 |
BNB | 0.05 | 0.04 | 0.01 | 0.16 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 2.38 |
APPL | 0.00 | 0.00 | 0.00 | 0.00 | 0.19 | 0.07 | 0.05 | 0.04 | 0.01 | 0.03 | 0.01 | 0.01 | 0.02 | 4.79 |
MSFT | 0.00 | 0.00 | 0.00 | 0.00 | 0.04 | 0.14 | 0.07 | 0.03 | 0.01 | 0.01 | 0.00 | 0.01 | 0.01 | 3.58 |
GOOGL | 0.00 | 0.00 | 0.00 | 0.00 | 0.05 | 0.08 | 0.20 | 0.03 | 0.00 | 0.01 | 0.00 | 0.01 | 0.02 | 4.37 |
AMZN | 0.00 | 0.00 | 0.00 | 0.00 | 0.03 | 0.04 | 0.04 | 0.17 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 2.69 |
XON | 0.01 | 0.01 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.15 | 0.08 | 0.05 | 0.00 | 0.01 | 3.69 |
CVX | 0.01 | 0.01 | 0.01 | 0.00 | 0.02 | 0.01 | 0.01 | 0.00 | 0.09 | 0.28 | 0.12 | 0.01 | 0.02 | 6.23 |
COP | 0.01 | 0.01 | 0.00 | 0.01 | 0.01 | 0.01 | 0.01 | 0.00 | 0.10 | 0.14 | 0.21 | 0.01 | 0.03 | 6.90 |
NEE | 0.01 | 0.00 | 0.01 | 0.00 | 0.02 | 0.02 | 0.01 | 0.01 | 0.03 | 0.05 | 0.01 | 0.44 | 0.02 | 4.03 |
TO ABS | 0.02 | 0.01 | 0.01 | 0.01 | 0.01 | 0.02 | 0.02 | 0.01 | 0.02 | 0.03 | 0.02 | 0.00 | 0.18 | Â |
TO WTH | 4.03 | 3.54 | 1.57 | 3.52 | 3.76 | 5.51 | 4.36 | 2.73 | 5.71 | 7.41 | 4.42 | 1.24 | Â | TGI: 47.81 |
The spillover band: 0.79 to 0.31 (Medium term, 4Â days to 10Â days) | ||||||||||||||
| Â | BTC | ETH | USDT | BNB | AAPL | MSFT | GOOGL | AMZN | XOM | CVX | COP | NEE | FROM ABS | FROM WTH |
BTC | 0.01 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 3.77 |
ETH | 0.01 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 3.59 |
USDT | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.21 |
BNB | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 2.61 |
APPL | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 4.03 |
MSFT | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 3.80 |
GOOGL | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 4.27 |
AMZN | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 | 0.01 | 0.01 | 0.01 | 0.01 | 2.38 |
XON | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 3.16 |
CVX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.02 | 0.01 | 0.00 | 0.00 | 5.71 |
COP | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 0.02 | 0.00 | 0.00 | 6.76 |
NEE | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.04 | 0.00 | 1.51 |
TO ABS | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | Â |
TO WTH | 3.61 | 3.22 | 0.96 | 2.71 | 3.67 | 4.57 | 3.83 | 2.34 | 3.95 | 7.16 | 4.78 | 1.01 | Â | TGI: 41.82 |
The spillover band: 0.31 to 0.00 (Long term, 10Â days to Infinite days) | ||||||||||||||
| Â | BTC | ETH | USDT | BNB | AAPL | MSFT | GOOGL | AMZN | XOM | CVX | COP | NEE | FROM ABS | FROM WTH |
BTC | 53.94 | 25.23 | 2.92 | 14.89 | 0.16 | 0.03 | 0.17 | 0.13 | 0.28 | 0.24 | 0.90 | 0.67 | 3.80 | 3.82 |
ETH | 24.38 | 56.36 | 2.20 | 13.92 | 0.36 | 0.05 | 0.12 | 0.04 | 0.37 | 0.66 | 1.13 | 0.03 | 3.61 | 3.62 |
USDT | 7.82 | 8.54 | 77.36 | 3.28 | 0.16 | 0.10 | 0.05 | 0.110 | 0.28 | 0.00 | 0.60 | 1.59 | 1.88 | 1.89 |
BNB | 18.51 | 17.81 | 1.02 | 60.69 | 0.09 | 0.11 | 0.19 | 0.02 | 0.37 | 0.06 | 0.80 | 0.04 | 3.25 | 3.26 |
APPL | 1.16 | 1.25 | 0.23 | 0.73 | 54.80 | 14.93 | 11.56 | 10.08 | 0.17 | 0.04 | 0.04 | 4.56 | 3.73 | 3.75 |
MSFT | 0.66 | 0.73 | 0.41 | 0.48 | 14.27 | 48.41 | 18.10 | 11.42 | 0.34 | 0.11 | 0.33 | 4.42 | 4.27 | 4.29 |
GOOGL | 0.23 | 0.25 | 0.02 | 0.09 | 10.69 | 20.72 | 50.87 | 10.55 | 0.48 | 0.07 | 0.00 | 5.61 | 4.06 | 4.08 |
AMZN | 0.18 | 0.13 | 0.01 | 0.09 | 12.20 | 14.07 | 10.81 | 59.68 | 0.13 | 1.23 | 0.28 | 0.88 | 3.33 | 3.35 |
XON | 0.03 | 0.12 | 0.00 | 0.08 | 0.36 | 0.52 | 0.28 | 0.34 | 46.16 | 24.96 | 25.45 | 1.37 | 4.46 | 4.48 |
CVX | 0.17 | 0.68 | 0.00 | 0.09 | 0.18 | 0.34 | 0.01 | 1.46 | 30.76 | 36.69 | 18.28 | 10.74 | 5.23 | 5.25 |
COP | 0.69 | 1.11 | 0.34 | 0.43 | 0.00 | 0.27 | 0.10 | 0.23 | 26.52 | 14.86 | 46.32 | 8.57 | 4.43 | 4.45 |
NEE | 0.25 | 0.04 | 0.35 | 0.04 | 5.92 | 5.70 | 6.94 | 1.12 | 0.22 | 8.36 | 6.40 | 63.99 | 2.95 | 2.96 |
TO ABS | 4.51 | 4.66 | 0.63 | 2.85 | 3.70 | 4.74 | 4.03 | 2.96 | 4.99 | 4.22 | 4.52 | 3.21 | 44.99 | Â |
TO WTH | 4.53 | 4.68 | 0.63 | 2.86 | 3.71 | 4.76 | 4.04 | 2.97 | 5.01 | 4.23 | 4.54 | 3.22 | Â | TGI:45.17 |