Table 3.
Total Volatility Spillover index between commodities, crypto, and G20 markets.
| GOLD | OIL | ARG | AUS | BR | CND | CHI | FR | GER | IND | INDO | ITL | JPN | KOREA | MEX | RUS | SA | SAF | TUR | UK | USA | EU | BIT | FROM | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GOLD | 21.97 | 1.31 | 0.63 | 3.29 | 2.52 | 4.21 | 0.5 | 3.18 | 3.88 | 1.99 | 1.72 | 3.66 | 1.53 | 1.51 | 2.97 | 28.18 | 1.68 | 1.43 | 1.06 | 2.97 | 4.65 | 3.3 | 1.87 | 78.03 |
| OIL | 1.28 | 36.24 | 0.51 | 3.53 | 1.81 | 3.36 | 0.42 | 2.3 | 2.7 | 2.25 | 2.39 | 1.47 | 1.29 | 1.12 | 1.84 | 25.7 | 1.4 | 2.13 | 0.57 | 1.74 | 2.46 | 2.37 | 1.1 | 63.76 |
| ARG | 0.42 | 0.6 | 46.89 | 0.74 | 1.57 | 1.42 | 0.41 | 1.77 | 1.97 | 0.92 | 0.53 | 1.33 | 0.82 | 0.59 | 1.14 | 30.39 | 1.21 | 1.17 | 0.38 | 1.23 | 2.26 | 1.73 | 0.51 | 53.11 |
| AUS | 1.68 | 1.16 | 0.68 | 13.01 | 3.37 | 4.96 | 0.49 | 4.13 | 4.7 | 2.27 | 1.5 | 3.72 | 2.67 | 2.2 | 2.48 | 29.18 | 1.12 | 3.02 | 0.81 | 4.16 | 6.58 | 4.32 | 1.78 | 86.99 |
| BR | 1.49 | 1.83 | 1.04 | 3.18 | 30.17 | 5.55 | 0.67 | 4.3 | 4.57 | 2.18 | 2.09 | 4.97 | 1.29 | 1.5 | 3.44 | 12.31 | 0.96 | 2.67 | 1.04 | 3.81 | 4.82 | 4.52 | 1.6 | 69.83 |
| CND | 1.53 | 1.51 | 0.78 | 3.71 | 4.04 | 8.93 | 0.33 | 5.73 | 6.72 | 2.17 | 1.68 | 5.16 | 1.4 | 2.1 | 3.11 | 25.61 | 0.77 | 3.58 | 0.72 | 4.9 | 7.87 | 6.12 | 1.54 | 91.07 |
| CHI | 1.91 | 1.47 | 0.59 | 2.45 | 2.03 | 2.07 | 27.2 | 2.38 | 2.58 | 3.85 | 1.16 | 1.82 | 2 | 2.51 | 1.42 | 31.61 | 1.46 | 1.43 | 0.84 | 1.92 | 3.65 | 2.3 | 1.36 | 72.8 |
| FR | 0.77 | 1.03 | 0.6 | 3.07 | 3.3 | 6.1 | 0.38 | 7.72 | 12.45 | 1.87 | 1.2 | 9.95 | 0.87 | 1.26 | 2.97 | 12 | 0.68 | 4.13 | 0.87 | 9.39 | 5.29 | 13.08 | 1.03 | 92.28 |
| GER | 1.04 | 0.87 | 0.58 | 3.43 | 3.12 | 7.01 | 0.44 | 10.89 | 6.82 | 1.92 | 1.45 | 8.36 | 1.06 | 1.49 | 2.83 | 16.81 | 0.7 | 4.12 | 0.82 | 8.31 | 5.68 | 11.12 | 1.14 | 93.18 |
| IND | 1.22 | 2.58 | 0.72 | 3.8 | 3.07 | 3.72 | 0.71 | 3.46 | 3.51 | 28.23 | 3.34 | 2.15 | 1.76 | 3.24 | 2.21 | 20.66 | 1.8 | 3.04 | 0.89 | 2.68 | 2.98 | 3.4 | 0.86 | 71.77 |
| INDO | 1.39 | 1.85 | 1.35 | 3.35 | 2.73 | 4.24 | 0.83 | 3.63 | 4.04 | 2.4 | 20.49 | 2.92 | 1.45 | 2.24 | 2.75 | 24.4 | 1.54 | 3.88 | 1.38 | 3.72 | 4.27 | 3.84 | 1.31 | 79.51 |
| ITL | 0.94 | 0.71 | 0.52 | 3.32 | 3.85 | 5.08 | 0.54 | 10.79 | 10.33 | 1.45 | 1.25 | 13.62 | 0.94 | 1.24 | 3.42 | 11.46 | 0.83 | 3.02 | 1.1 | 8.42 | 4.84 | 10.67 | 1.66 | 86.38 |
| JPN | 2.39 | 1.2 | 0.84 | 3.8 | 1.62 | 4.55 | 0.75 | 3.62 | 4.84 | 1.63 | 1.22 | 3.96 | 20.36 | 3.24 | 1.99 | 23.4 | 1.39 | 1.54 | 0.93 | 3.74 | 7.03 | 4.16 | 1.79 | 79.64 |
| KOREA | 1.49 | 1.42 | 0.86 | 3.37 | 2.06 | 5.24 | 1.53 | 3.58 | 4.27 | 2.13 | 1.54 | 2.42 | 2.99 | 24.26 | 1.48 | 23.74 | 1.46 | 2.73 | 0.69 | 3.02 | 5.16 | 3.74 | 0.83 | 75.74 |
| MEX | 1.36 | 1.35 | 1.07 | 2.73 | 4.02 | 4.48 | 0.87 | 4.74 | 4.99 | 1.52 | 1.89 | 3.93 | 1.55 | 1.68 | 23.61 | 20.14 | 1.49 | 3.53 | 0.93 | 3.42 | 4.89 | 4.64 | 1.17 | 76.39 |
| RUS | 2.68 | 2.01 | 0.18 | 1.56 | 0.56 | 1.2 | 1.1 | 2.31 | 4.31 | 1.35 | 1.02 | 2.58 | 2.43 | 0.74 | 1.12 | 62.38 | 3.16 | 0.86 | 1.7 | 1.32 | 1.07 | 2.7 | 1.65 | 37.62 |
| SA | 1.51 | 2.69 | 1.48 | 3.04 | 3.43 | 4.93 | 1.44 | 2.91 | 3.13 | 2.04 | 2.13 | 2.45 | 1.87 | 2.3 | 3.49 | 20.71 | 25.92 | 2.27 | 0.85 | 2.27 | 4.68 | 2.84 | 1.62 | 74.08 |
| SAF | 1.56 | 1.09 | 1.09 | 2.79 | 3.47 | 4.77 | 0.66 | 5.42 | 5.83 | 1.54 | 1.49 | 4.87 | 1.98 | 2.45 | 3.11 | 20.45 | 1.07 | 19.41 | 1.03 | 4.91 | 4.6 | 5.56 | 0.87 | 80.59 |
| TUR | 1.81 | 1.02 | 0.92 | 1.41 | 1.81 | 1.99 | 0.48 | 2.82 | 3.38 | 1.08 | 1.54 | 2.99 | 1.43 | 0.95 | 2.42 | 23.33 | 0.87 | 1.27 | 39.34 | 2.48 | 2.04 | 2.96 | 1.69 | 60.66 |
| UK | 1.02 | 1.23 | 0.57 | 3.69 | 2.6 | 5.6 | 0.4 | 10.22 | 9.79 | 1.87 | 1.11 | 7.65 | 1.26 | 1.9 | 2.61 | 15.72 | 0.78 | 3.79 | 0.62 | 9.12 | 5.47 | 12.06 | 0.93 | 90.88 |
| USA | 1.41 | 1.16 | 0.88 | 3.18 | 3.95 | 8.68 | 0.44 | 4.46 | 4.88 | 1.47 | 1.03 | 4.47 | 1.45 | 1.78 | 2.82 | 27.12 | 1.06 | 2.13 | 0.67 | 3.38 | 17.38 | 4.48 | 1.72 | 82.62 |
| EU | 0.74 | 0.96 | 0.62 | 3.37 | 3.1 | 5.95 | 0.36 | 12.66 | 12.17 | 1.77 | 1.15 | 9.75 | 1.07 | 1.45 | 2.92 | 14.13 | 0.69 | 4.07 | 0.68 | 11.1 | 5.62 | 4.53 | 1.12 | 95.47 |
| BIT |
1.34 |
2.76 |
0.93 |
2.88 |
2.08 |
2.24 |
0.94 |
2.14 |
2.76 |
1.78 |
1.62 |
2.33 |
2.17 |
1.64 |
3.37 |
24.86 |
2.14 |
1.57 |
2.1 |
1.67 |
2.74 |
2.33 |
31.63 |
68.37 |
|
TO |
30.97 |
31.84 |
17.44 |
65.69 |
60.09 |
97.34 |
14.69 |
107.46 |
117.79 |
41.45 |
34.06 |
92.93 |
35.27 |
39.12 |
55.88 |
481.92 |
28.26 |
57.39 |
20.66 |
90.56 |
98.62 |
112.23 |
29.13 |
TCI |
| NET | −47.06 | −31.92 | −35.67 | −21.3 | −9.74 | 6.27 | −58.11 | 15.18 | 24.61 | −30.32 | −45.45 | 6.55 | −44.37 | −36.62 | −20.51 | 444.3 | −45.82 | −23.21 | −40 | −0.32 | 16 | 16.76 | −39.24 | 76.56 |
Notes: System-wide total dynamic connectedness index is based on a 1st-order TVP-VAR with a 1st-order delay length and a 28-level GFEVD.