. 2023 May 6;9(1):85. doi: 10.1186/s40854-023-00492-4

Table 4.

BEKK dynamic conditional covariance coefficients and contagion effect tests

	Mean	Variance	T-statistic
Pre-collapse BEKK covariance UST_BTC	0.0013	0.0003	24.64***
Collapse BEKK covariance UST_BTC	− 0.0084	0.0042	24.64***
Pre-collapse BEKK covariance UST_BUSD	− 0.0009	0.0004	− 24.71***
Collapse BEKK covariance UST_BUSD	0.0087	0.0040	− 24.71***
Pre-collapse BEKK covariance UST_DAI	0.0052	0.0003	− 23.96***
Collapse BEKK covariance UST_DAI	0.0141	0.0037	− 23.96***
Pre-collapse BEKK covariance UST_LUNA	− 0.0038	0.0001	− 44.15***
Collapse BEKK covariance UST_LUNA	0.0091	0.0023	− 44.15***
Pre-collapse BEKK covariance UST_USDT	0.0009	0.0004	− 14.78***
Collapse BEKK covariance UST_USDT	0.0072	0.0048	− 14.78***
Pre-collapse BKK covariance UST_USDC	− 0.0004	0.0004	− 3.84***
Collapse BEKK covariance UST_USDC	0.0011	0.0041	− 3.84***

Pre-collapse period is from 20.04.2022 to 09.05.2022. Collapse period is from 10.05.2022 to 29.05.2022. Entire period is from 20.04.2022 to 29.05.2022. ***Indicates the significance level at 1%