. 2021 May 16;45:102137. doi: 10.1016/j.frl.2021.102137

Table 4.

The DCC-GARCH-SNP model and volatility spillovers.

Coeff.	Bitcoin	Ethereum	Tether	Bitcoin cash	Bitcoin SV	XRP	Binance	EOS	Tezos	Cardano	Litecoin	Stellar
Panel A: Conditional variance equation
$ω_{1}$	0.001***	0.001***	0.001***	0.001***	0.001***	0.006***	0.001***	0.001***	0.001***	0.001***	0.001***	0.001***
	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
$α_{1}$	0.167***	0.169***	0.211***	0.090***	0.250***	0.148***	0.172***	0.036***	0.149***	0.115***	0.048***	0.126***
	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
$β_{1}$	0.765***	0.739***	0.829***	0.860***	0.723***	0.590***	0.810***	0.891***	0.779***	0.848***	0.880***	0.831***
	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
$θ_{1}$	-0.001***	-0.001***	-0.001***	0.001***	-0.001***	-0.003***	0.001	0.001***	-0.001*	0.001**	0.001***	0.003***
	(0.000)	(0.005)	(0.000)	(0.000)	(0.000)	(0.000)	(0.374)	(0.009)	(0.059)	(0.043)	(0.000)	(0.000)
$θ_{2}$	-0.002**	-0.009***	8.37e-06	-0.007***	-0.012***	-0.003***	0.001	0.001	-0.002*	-0.002***	-0.009***	-0.001*
	(0.015)	(0.000)	(0.910)	(0.000)	(0.000)	(0.000)	(0.633)	(0.802)	(0.070)	(0.000)	(0.000)	(0.064)
$θ_{3}$	-0.004***	-0.006***	-0.001***	0.003***	0.015***	-0.030***	-6.51e-05	-0.002***	0.006***	5.50e-05	0.003***	0.018***
	(0.000)	(0.002)	(0.000)	(0.000)	(0.000)	(0.000)	(0.194)	(0.000)	(0.000)	(0.931)	(0.003)	(0.000)
$ω_{2}$	0.003***	0.001**	0.001***	0.002***	0.007***	0.001**	2.03e-04	0.002***	0.009***	1.72e-04	2.14e-04***	0.002***
	(0.000)	(0.016)	(0.001)	(0.000)	(0.000)	(0.018)	(0.670)	(0.000)	(0.000)	(0.612)	(0.006)	(0.000)
$α_{2}$	0.130***	0.018***	0.019***	0.061***	0.150***	0.044***	0.090***	0.022***	0.134***	0.021***	0.026***	0.084***
	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.001)	(0.000)	(0.000)
$β_{2}$	0.814***	0.980***	0.981***	0.935***	0.759***	0.951***	0.815***	0.940***	0.780***	0.975***	0.973***	0.892***
	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
$θ_{4}$	-0.046	-0.061	-7.947***	-0.380***	0.571	0.001	1.906***	0.350**	0.933***	0.045	-0.084*	0.466***
	(0.794)	(0.100)	(0.000)	(0.000)	(0.100)	(0.995)	(0.000)	(0.011)	(0.000)	(0.451)	(0.053)	(0.003)
$θ_{5}$	1.606	-0.031	-4.752	-0.287	-1.370**	3.127***	1.035	-0.231**	-1.661	0.452	-0.196	-1.307*
	(0.504)	(0.845)	(0.166)	(0.632)	(0.010)	(0.004)	(0.121)	(0.015)	(0.216)	(0.559)	(0.150)	(0.057)
$θ_{6}$	0.196	0.025	-0.734	-0.353***	0.250	-0.026	5.005***	-2.05e-04	0.143	0.036	0.005	0.051
	(0.257)	(0.106)	(0.740)	(0.000)	(0.119)	(0.543)	(0.000)	(0.997)	(0.602)	(0.329)	(0.726)	(0.496)
Panel B: Conditional correlation
$a$	0.271***	0.171***	0.084***	0.268***	0.206***	0.174***	0.403***	0.186***	0.065***	0.174***	0.103***	0.009***
	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
$b$	0.361***	0.645***	0.750***	0.379***	0.394***	0.110	0.231***	0.703***	0.934***	-0.028	0.452***	0.996***
	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.120)	(0.000)	(0.000)	(0.000)	(0.213)	(0.000)	(0.000)
Panel C: Marginal skewness and kurtosis
$s_{1}$	0.004	0.190	-0.054	-0.256	-1.307**	-0.014	0.212	-0.060	-0.160	-0.046	-0.148	-0.103
	(0.956)	(0.297)	(0.750)	(0.113)	(0.025)	(0.876)	(0.198)	(0.728)	(0.491)	(0.764)	(0.322)	(0.336)
$k_{1}$	2.927***	5.423***	4.371***	3.883***	11.269***	3.079***	5.499***	5.097***	6.883**	4.800***	4.935***	3.651***
	(0.000)	(0.001)	(0.000)	(0.000)	(0.001)	(0.000)	(0.001)	(0.001)	(0.024)	(0.000)	(0.000)	(0.000)
$s_{2}$	0.450	0.018	0.357	0.321	-2.048	-0.025	0.027	0.145	0.107	0.426	0.371	0.390
	(0.393)	(0.942)	(0.341)	(0.309)	(0.197)	(0.955)	(0.895)	(0.595)	(0.602)	(0.214)	(0.159)	(0.147)
$k_{2}$	13.378**	7.346**	9.465*	7.888*	19.136**	13.479**	5.114***	6.441**	6.291***	8.695***	6.882***	7.542***
	(0.029)	(0.016)	(0.072)	(0.059)	(0.022)	(0.017)	(0.004)	(0.018)	(0.005)	(0.001)	(0.007)	(0.000)
Log-L	2,919.1	2,123.2	1,581.2	1,868.4	-38,400.0	2,618.7	1,837.5	1,843.2	1,654.7	1,623.5	2,128.2	2,223.8
$L B (12)$	14.701	13.578	7.368	7.409	16.390	17.251	13.927	12.145	13.965	16.053	12.919	15.949
$L B^{2} (12)$	3.245	8.914	0.106	6.552	16.338	17.187	11.090	6.715	3.753	6.711	4.832	7.957

Note: Coef. denotes model coefficient. p-value denotes p value of test statistic for significance check on coefficient. LB(12) and LB2(12) represent the Ljung-Box Q test statistic for standardised innovations and its squares up to the 12th order, respectively. e stands for scientific notation. ***, ** and * denote significance at the 1%, 5% and 10% levels, respectively. For brevity, only the twelve largest cryptocurrencies by market capitalisation are presented. Further results are available from the authors upon request.