Table 4.
BDS test.
| Variables | m = 2 | m = 3 | m = 4 | m = 5 | m = 6 | |||||
|---|---|---|---|---|---|---|---|---|---|---|
| z-stats | p-value | z-stats | p-value | z-stats | p-value | z-stats | p-value | z-stats | p-value | |
| Overall spillover | 37.522 | 0.000 | 39.957 | 0.000 | 42.972 | 0.000 | 47.498 | 0.000 | 53.702 | 0.000 |
| Net spillover for BTC | 44.407 | 0.000 | 47.377 | 0.000 | 51.009 | 0.000 | 56.318 | 0.000 | 63.633 | 0.000 |
| Net spillover for ETH | 36.494 | 0.000 | 38.815 | 0.000 | 41.754 | 0.000 | 46.089 | 0.000 | 52.057 | 0.000 |
| Net spillover for LTC | 64.909 | 0.000 | 69.397 | 0.000 | 74.591 | 0.000 | 82.371 | 0.000 | 92.898 | 0.000 |
| Net spillover for XRP | 45.193 | 0.000 | 48.378 | 0.000 | 51.959 | 0.000 | 56.911 | 0.000 | 63.689 | 0.000 |
| Net spillover for XLM | 46.635 | 0.000 | 50.350 | 0.000 | 54.667 | 0.000 | 60.568 | 0.000 | 68.838 | 0.000 |
| Net spillover for BNB | 45.488 | 0.000 | 48.367 | 0.000 | 51.895 | 0.000 | 56.922 | 0.000 | 63.771 | 0.000 |
| Net spillover for ADA | 26.174 | 0.000 | 27.408 | 0.000 | 29.138 | 0.000 | 31.725 | 0.000 | 35.364 | 0.000 |
| Net spillover for LINK | 79.408 | 0.000 | 85.321 | 0.000 | 92.232 | 0.000 | 101.744 | 0.000 | 114.704 | 0.000 |
Note:m shows the embedding dimension. The entries shows the z-statistics BDS test established on the residuals of considered variables.
Source: Authors' Estimations.