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Hedging effectiveness (%) for the pairs of cryptocurrencies
| BTC/ETH | BTC/LTC | ETH/LTC | |
|---|---|---|---|
| Pre COVID-19 period | |||
| HE (VAR-AGARCH) | 61.49 | 39.37 | 47.84 |
| HE (VAR-BEKK-AGARCH) | 57.10 | 35.76 | 46.55 |
| COVID-19 period | |||
| HE (VAR-AGARCH) | 76.32 | 61.78 | 70.40 |
| HE (VAR-BEKK-AGARCH) | 68.88 | 57.29 | 65.85 |
