Table 5.
Directional detailed spillovers under regime switching—COVID-19 period (January 1st, 2020–April 1st, 2020)
| BTC | ETH | XRP | LTC | XMR | XLM | DASH | ETC | XEM | DOGE | DCR | LSK | WAVES | MONA | DGB | STEEM | SC | DGD | From | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Regime 1 (low volatility) | |||||||||||||||||||
| BTC | 76.50 | 0.29 | 1.33 | 0.29 | 3.26 | 1.33 | 1.47 | 0.84 | 0.17 | 1.20 | 0.35 | 0.06 | 3.22 | 1.13 | 4.09 | 3.13 | 1.05 | 0.30 | 23.50 |
| ETH | 1.40 | 50.74 | 9.29 | 8.20 | 1.67 | 5.12 | 3.95 | 2.10 | 0.59 | 1.52 | 0.30 | 0.84 | 1.38 | 0.99 | 0.17 | 4.65 | 1.27 | 5.81 | 49.26 |
| XRP | 0.84 | 9.16 | 50.42 | 6.98 | 1.42 | 10.10 | 2.18 | 2.72 | 3.34 | 1.17 | 0.53 | 0.55 | 0.68 | 1.79 | 0.51 | 2.89 | 3.41 | 1.31 | 49.58 |
| LTC | 0.10 | 8.07 | 6.59 | 50.40 | 1.51 | 4.41 | 6.40 | 6.98 | 2.97 | 2.02 | 0.30 | 0.27 | 0.23 | 1.83 | 1.28 | 2.66 | 3.78 | 0.22 | 49.60 |
| XMR | 3.42 | 2.35 | 2.18 | 2.47 | 78.63 | 1.62 | 3.79 | 1.70 | 0.62 | 0.54 | 0.31 | 0.01 | 0.37 | 0.56 | 0.46 | 0.18 | 0.09 | 0.69 | 21.38 |
| XLM | 1.14 | 6.16 | 12.09 | 5.06 | 1.42 | 56.54 | 1.47 | 1.21 | 0.74 | 0.79 | 0.80 | 0.07 | 3.82 | 1.16 | 0.19 | 2.85 | 1.84 | 2.65 | 43.46 |
| DASH | 1.88 | 4.90 | 2.82 | 7.96 | 2.77 | 2.75 | 62.70 | 4.56 | 0.05 | 4.83 | 0.06 | 1.30 | 0.74 | 1.92 | 0.34 | 0.06 | 0.19 | 0.17 | 37.30 |
| ETC | 1.30 | 3.28 | 4.08 | 8.52 | 1.62 | 1.09 | 4.35 | 60.71 | 1.88 | 2.11 | 1.54 | 0.53 | 0.68 | 2.21 | 0.56 | 3.10 | 2.17 | 0.26 | 39.29 |
| XEM | 0.02 | 0.33 | 3.95 | 5.24 | 0.59 | 0.81 | 0.05 | 1.51 | 61.53 | 0.90 | 0.73 | 0.93 | 2.80 | 8.19 | 0.39 | 2.73 | 8.75 | 0.56 | 38.47 |
| DOGE | 2.23 | 2.69 | 1.28 | 2.97 | 0.99 | 0.89 | 4.60 | 2.47 | 1.15 | 71.68 | 1.83 | 4.34 | 0.17 | 0.64 | 0.38 | 0.69 | 0.69 | 0.31 | 28.32 |
| DCR | 0.14 | 0.32 | 0.83 | 0.14 | 0.62 | 0.61 | 0.34 | 2.38 | 0.13 | 2.10 | 81.31 | 0.71 | 3.30 | 3.90 | 0.19 | 1.74 | 0.22 | 1.01 | 18.69 |
| LSK | 0.04 | 1.32 | 0.53 | 1.03 | 0.09 | 0.95 | 1.70 | 0.70 | 1.09 | 4.92 | 0.68 | 80.53 | 1.27 | 0.90 | 0.62 | 1.09 | 2.05 | 0.48 | 19.47 |
| WAVES | 2.25 | 1.02 | 1.75 | 0.91 | 1.31 | 4.83 | 0.55 | 0.51 | 0.78 | 0.28 | 2.22 | 0.71 | 72.99 | 2.17 | 1.03 | 2.83 | 2.78 | 1.09 | 27.01 |
| MONA | 1.66 | 1.08 | 2.10 | 2.39 | 0.70 | 1.50 | 1.52 | 2.32 | 8.33 | 0.85 | 2.54 | 0.63 | 2.02 | 55.97 | 0.77 | 3.68 | 11.04 | 0.90 | 44.03 |
| DGB | 5.71 | 0.26 | 1.05 | 1.77 | 0.95 | 0.28 | 0.37 | 0.82 | 0.27 | 0.57 | 0.08 | 0.40 | 1.61 | 0.83 | 84.14 | 0.13 | 0.20 | 0.56 | 15.86 |
| STEEM | 1.90 | 5.52 | 3.46 | 2.92 | 0.18 | 3.01 | 0.05 | 2.41 | 2.82 | 0.52 | 2.40 | 0.45 | 2.22 | 3.19 | 0.44 | 58.84 | 7.61 | 2.07 | 41.16 |
| SC | 0.44 | 1.59 | 3.93 | 3.51 | 0.38 | 1.76 | 0.25 | 0.86 | 7.99 | 0.56 | 0.29 | 1.65 | 2.15 | 9.22 | 0.73 | 6.39 | 56.17 | 2.15 | 43.83 |
| DGD | 0.20 | 8.15 | 2.31 | 0.37 | 0.46 | 3.63 | 0.37 | 0.17 | 0.55 | 0.59 | 1.08 | 0.23 | 0.53 | 0.46 | 0.37 | 2.74 | 3.48 | 74.31 | 25.69 |
| To | 24.65 | 56.50 | 59.54 | 60.73 | 19.94 | 44.69 | 33.39 | 34.28 | 33.45 | 25.50 | 16.05 | 13.68 | 27.18 | 41.09 | 12.54 | 41.52 | 50.64 | 20.54 | Total |
| Net | 1.15 | 7.24 | 9.97 | 11.13 | − 1.44 | 1.22 | − 3.91 | − 5.01 | − 5.02 | − 2.82 | − 2.64 | − 5.79 | 0.17 | − 2.94 | − 3.33 | 0.36 | 6.81 | − 5.15 | 34.22 |
| Regime 2 (high volatility) | |||||||||||||||||||
| BTC | 12.10 | 5.84 | 4.38 | 5.13 | 0.61 | 1.80 | 26.74 | 0.47 | 0.49 | 17.61 | 3.17 | 0.87 | 1.04 | 9.36 | 6.29 | 1.41 | 2.31 | 0.40 | 87.90 |
| ETH | 2.88 | 8.62 | 7.89 | 2.29 | 1.74 | 3.60 | 7.49 | 1.03 | 1.86 | 3.93 | 3.84 | 0.79 | 16.44 | 2.95 | 2.16 | 22.35 | 1.08 | 9.08 | 91.38 |
| XRP | 6.07 | 9.32 | 10.68 | 3.89 | 0.93 | 5.16 | 14.60 | 0.80 | 0.96 | 18.57 | 1.31 | 1.44 | 8.15 | 8.91 | 4.88 | 2.52 | 1.40 | 0.41 | 89.33 |
| LTC | 11.76 | 4.79 | 3.47 | 5.72 | 0.57 | 1.51 | 27.43 | 0.48 | 0.79 | 15.69 | 3.76 | 0.69 | 1.05 | 8.84 | 6.09 | 3.44 | 2.68 | 1.23 | 94.28 |
| XMR | 4.80 | 4.21 | 3.74 | 3.26 | 1.82 | 1.99 | 12.54 | 1.19 | 1.30 | 6.43 | 4.96 | 0.74 | 3.96 | 5.40 | 4.39 | 26.82 | 0.85 | 11.58 | 98.18 |
| XLM | 9.21 | 6.98 | 6.20 | 4.24 | 0.96 | 3.29 | 19.89 | 0.67 | 0.64 | 16.80 | 2.67 | 1.00 | 3.04 | 8.96 | 5.36 | 6.01 | 1.67 | 2.43 | 96.71 |
| DASH | 12.19 | 5.57 | 3.83 | 5.13 | 0.57 | 1.55 | 28.63 | 0.38 | 0.49 | 17.61 | 3.33 | 0.76 | 0.74 | 9.50 | 6.51 | 0.46 | 2.44 | 0.31 | 71.37 |
| ETC | 7.32 | 8.05 | 7.57 | 3.85 | 0.92 | 3.15 | 17.26 | 3.91 | 0.28 | 18.30 | 1.88 | 1.24 | 5.47 | 7.19 | 5.75 | 4.14 | 1.05 | 2.69 | 96.09 |
| XEM | 4.57 | 2.45 | 2.99 | 3.44 | 1.06 | 3.73 | 15.97 | 1.87 | 7.01 | 3.20 | 4.11 | 3.85 | 6.42 | 10.71 | 3.36 | 14.45 | 3.51 | 7.30 | 92.99 |
| DOGE | 9.03 | 1.81 | 4.28 | 4.50 | 0.67 | 2.13 | 18.28 | 1.69 | 2.34 | 11.06 | 5.53 | 1.20 | 3.22 | 7.54 | 3.98 | 16.44 | 2.65 | 3.65 | 88.94 |
| DCR | 8.59 | 3.15 | 3.15 | 4.32 | 0.67 | 1.64 | 18.97 | 1.09 | 1.47 | 7.81 | 6.27 | 0.73 | 3.01 | 5.22 | 5.02 | 19.44 | 2.00 | 7.44 | 93.73 |
| LSK | 11.39 | 1.14 | 1.59 | 4.10 | 0.43 | 1.26 | 30.80 | 0.65 | 2.96 | 6.36 | 5.31 | 2.06 | 6.44 | 9.94 | 4.53 | 6.15 | 3.68 | 1.21 | 97.94 |
| WAVES | 13.57 | 2.35 | 1.42 | 4.96 | 0.32 | 0.81 | 32.60 | 0.29 | 1.22 | 10.98 | 5.18 | 0.48 | 3.75 | 8.47 | 5.68 | 4.12 | 3.33 | 0.48 | 96.25 |
| MONA | 12.76 | 4.23 | 2.64 | 4.90 | 0.60 | 1.07 | 29.84 | 0.40 | 1.09 | 15.47 | 3.77 | 0.71 | 1.01 | 10.17 | 6.01 | 1.64 | 2.97 | 0.73 | 89.83 |
| DGB | 7.71 | 3.83 | 3.66 | 4.45 | 0.65 | 3.60 | 18.74 | 1.08 | 3.09 | 9.65 | 4.68 | 2.12 | 3.11 | 11.75 | 6.19 | 10.28 | 2.91 | 2.50 | 93.81 |
| STEEM | 6.70 | 3.86 | 6.82 | 3.94 | 1.49 | 4.04 | 12.43 | 0.72 | 1.34 | 9.00 | 4.81 | 1.52 | 4.04 | 6.34 | 5.47 | 23.64 | 1.15 | 2.70 | 76.37 |
| SC | 10.47 | 6.17 | 4.88 | 5.20 | 0.72 | 2.35 | 24.65 | 0.64 | 0.72 | 17.53 | 3.08 | 1.18 | 1.69 | 9.19 | 6.12 | 0.92 | 3.77 | 0.70 | 96.23 |
| DGD | 12.12 | 3.32 | 2.27 | 4.96 | 0.62 | 1.22 | 29.40 | 0.39 | 1.08 | 12.92 | 4.51 | 0.54 | 1.17 | 9.05 | 5.95 | 5.63 | 2.81 | 2.04 | 97.96 |
| To | 151.12 | 77.07 | 70.78 | 72.56 | 13.55 | 40.61 | 357.63 | 13.84 | 22.11 | 207.85 | 65.90 | 19.87 | 70.00 | 139.30 | 87.55 | 146.21 | 38.47 | 54.85 | Total |
| Net | 63.22 | − 14.31 | − 18.54 | − 21.72 | − 84.63 | − 56.10 | 286.26 | − 82.25 | − 70.87 | 118.91 | − 27.83 | − 78.07 | − 26.24 | 49.47 | − 6.26 | 69.84 | − 57.75 | − 43.11 | 91.63 |