Are GARCH and DCC Values of 10 Cryptocurrencies Affected by COVID-19?
Abstract
:1. Introduction
2. Literature Review
3. Data
4. Methodology
4.1. Ljung–Box Autocorrelation Test
4.2. ADF Unit Root Test
4.3. AR(1)-GARCH(1,1) Model
4.4. DCC(1,1) Model
4.5. Maximum Likelihood Estimation of Parameters
5. Descriptive Statistics and Tests
5.1. Average Growth Rates of the 10 Cryptocurrencies for the Three Periods
5.2. Ljung and Box Test for Autocorrelation
5.3. ADF Unit Root Tests
6. Empirical Analysis
6.1. AR(1) and GARCH(1,1) Models
6.2. DCC(1,1) Models
7. Summary and Further Studies
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
References
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Ranking | Cryptocurrency | Abbreviation | Price (USD) | Market Capitalization | 24 h Trading Volume | ||
---|---|---|---|---|---|---|---|
Market Cap (USD) | Ratio (%) | 24 h Volume (USD) | Ratio (%) | ||||
1 | Bitcoin | 40782 | 771.32B | 41.69% | 17.460000B | 30.68% | |
2 | Ethereum | 2899.3 | 347.288B | 18.77% | 13.210000B | 23.21% | |
3 | Tether (USDT) | 1.009 | 78.73B | 4.26% | 2.616600B | 4.60% | |
6 | Ripple | 0.78793 | 37.74B | 2.04% | 0.139910B | 0.25% | |
20 | Litecoin | 117 | 8.15B | 0.44% | 0.115070B | 0.20% | |
28 | Bitcoin Cash | 313.8 | 5.96B | 0.32% | 0.077834B | 0.14% | |
31 | Stellar | 0.20498 | 5.11B | 0.28% | 0.034826B | 0.06% | |
45 | Monero | 164.38 | 2.98B | 0.16% | 0.028847B | 0.05% | |
48 | EOS | 2.3559 | 2.31B | 0.12% | 0.051469B | 0.09% | |
58 | NEO | 24.59 | 1.73B | 0.09% | 0.020801B | 0.04% | |
Sum of the 10 cryptocurrencies | 1261.318B | 68.18% | 33.755357B | 59.32% | |||
Total 10,707 cryptocurrencies | 1850B | 100.00% | 56.906B | 100.00% |
Stats | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Mean | 1.0023 | 1.0028 | 1.0000 | 1.0031 | 1.0021 | 1.0020 | 1.0041 | 1.0018 | 1.0031 | 1.0023 |
Growth | 0.2295% | 0.2813% | −0.0006% | 0.3111% | 0.2097% | 0.2007% | 0.4058% | 0.1835% | 0.3116% | 0.2299% |
Median | 1.0015 | 1.0015 | 1.0000 | 1.0001 | 0.9995 | 0.9988 | 1.0000 | 1.0026 | 1.0000 | 1.0010 |
Maximum | 1.2255 | 1.2596 | 1.0352 | 1.8558 | 1.6106 | 1.5291 | 1.8977 | 1.4080 | 1.5618 | 1.6605 |
Minimum | 0.6082 | 0.5545 | 0.9787 | 0.5822 | 0.6146 | 0.5501 | 0.6438 | 0.5854 | 0.5801 | 0.5996 |
Std. Dev. | 0.0418 | 0.0527 | 0.0034 | 0.0705 | 0.0601 | 0.0699 | 0.0745 | 0.0558 | 0.0713 | 0.0701 |
Skewness | −0.2508 | −0.2809 | 0.7773 | 2.6610 | 1.0338 | 1.1259 | 2.6139 | −0.1714 | 1.0374 | 0.8436 |
Kurtosis | 10.23 | 8.77 | 22.64 | 28.64 | 15.55 | 14.29 | 27.45 | 10.46 | 11.95 | 11.87 |
Jarque–Bera | 3544 | 2268 | 26,225 | 46,333 | 10,935 | 8947 | 42,217 | 3767 | 5696 | 5501 |
Probability | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
Obs | 1621 | 1621 | 1621 | 1621 | 1621 | 1621 | 1621 | 1621 | 1621 | 1621 |
Stats | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Mean | 1.0015 | 1.0003 | 1.0000 | 1.0021 | 1.0012 | 1.0015 | 1.0040 | 1.0005 | 1.0041 | 1.0015 |
Growth | 0.1523% | 0.0338% | −0.0007% | 0.2064% | 0.1154% | 0.1482% | 0.3983% | 0.0465% | 0.4067% | 0.1468% |
Median | 1.0007 | 0.9989 | 1.0000 | 0.9987 | 0.9964 | 0.9962 | 0.9972 | 0.9993 | 0.9985 | 0.9974 |
Maximum | 1.2255 | 1.2322 | 1.0352 | 1.8558 | 1.6106 | 1.5291 | 1.8977 | 1.3268 | 1.4275 | 1.6605 |
Minimum | 0.8295 | 0.7982 | 0.9787 | 0.7019 | 0.7350 | 0.6193 | 0.7226 | 0.7471 | 0.7202 | 0.7347 |
Std. Dev. | 0.0430 | 0.0519 | 0.0046 | 0.0704 | 0.0626 | 0.0760 | 0.0805 | 0.0566 | 0.0759 | 0.0762 |
Skewness | 0.2694 | 0.0319 | 0.5858 | 3.9068 | 2.1114 | 1.3783 | 2.8195 | 0.1439 | 1.3027 | 1.4692 |
Kurtosis | 6.0744 | 5.5172 | 12.6270 | 40.0922 | 19.2643 | 12.3852 | 26.7278 | 6.1820 | 9.4422 | 12.7413 |
Jarque–Bera | 343.01 | 223.23 | 3311.42 | 50,590.19 | 9941.45 | 3368.73 | 20,942.07 | 359.40 | 1700.21 | 3645.00 |
Probability | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
Observations | 845 | 845 | 845 | 845 | 845 | 845 | 845 | 845 | 845 | 845 |
Stats | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Mean | 1.0031 | 1.0055 | 1.0000 | 1.0043 | 1.0031 | 1.0026 | 1.0041 | 1.0033 | 1.0021 | 1.0032 |
Growth | 0.3134% | 0.5493% | −0.0015% | 0.4251% | 0.3114% | 0.2580% | 0.4130% | 0.3292% | 0.2071% | 0.3179% |
Median | 1.0024 | 1.0043 | 1.0000 | 1.0020 | 1.0027 | 1.0021 | 1.0026 | 1.0054 | 1.0012 | 1.0034 |
Maximum | 1.1941 | 1.2596 | 1.0102 | 1.5667 | 1.2923 | 1.5283 | 1.7395 | 1.4080 | 1.5618 | 1.2893 |
Minimum | 0.6082 | 0.5545 | 0.9933 | 0.5822 | 0.6146 | 0.5501 | 0.6438 | 0.5854 | 0.5801 | 0.5996 |
Std. Dev. | 0.0403 | 0.0534 | 0.0009 | 0.0707 | 0.0572 | 0.0627 | 0.0674 | 0.0549 | 0.0660 | 0.0629 |
Skewness | −0.9294 | −0.6023 | 0.3948 | 1.3228 | −0.5074 | 0.6062 | 2.1484 | −0.5412 | 0.5645 | −0.3788 |
Kurtosis | 16.0985 | 12.0773 | 37.5916 | 16.5720 | 9.6452 | 17.1891 | 26.4363 | 15.8050 | 15.9871 | 8.6374 |
Jarque–Bera | 5659.13 | 2711.08 | 38,709.61 | 6182.08 | 1461.10 | 6557.19 | 18,356 | 5339.53 | 5494.72 | 1046.1 |
Probability | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
Observations | 776 | 776 | 776 | 776 | 776 | 776 | 776 | 776 | 776 | 776 |
Return Index | Pre_COVID-19 (1) | COVID-19 (2) | Full Period (3) | (2)–(1) | (2)–(3) |
---|---|---|---|---|---|
0.1523% | 0.3134% | 0.2295% | 0.1611% | 0.0839% | |
0.0338% | 0.5493% | 0.2813% | 0.5155% | 0.2680% | |
−0.0007% | −0.0015% | −0.0006% | −0.0008% | −0.0009% | |
0.2064% | 0.4251% | 0.3111% | 0.2187% | 0.1140% | |
0.1154% | 0.3114% | 0.2097% | 0.1960% | 0.1017% | |
0.1482% | 0.2580% | 0.2007% | 0.1098% | 0.0573% | |
0.3983% | 0.4130% | 0.4058% | 0.0147% | 0.0072% | |
0.0465% | 0.3292% | 0.1835% | 0.2827% | 0.1457% | |
0.4067% | 0.2071% | 0.3116% | −0.1996% | −0.1045% | |
0.1468% | 0.3179% | 0.2299% | 0.1711% | 0.0880% |
Stats | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
4.7359 ** (p = 0.030) | 8.3473 *** (p = 0.004) | 0.0433 (p = 0.835) | 63.684 *** (p = 0.000) | 3.7614 ** (p = 0.052) | 0.3933 (p = 0.531) | 3.9499 ** (p = 0.047) | 0.0831 (p = 0.773) | 23.998 *** (p = 0.000) | 5.2118 ** (p = 0.022) | |
18.859 ** (p = 0.042) | 23.930 *** (p = 0.008) | 22.130 ** (p = 0.014) | 134.12 *** (p = 0.000) | 11.800 (p = 0.299) | 15.459 (p = 0.116) | 19.479 ** (p = 0.035) | 10.483 (p = 0.399) | 35.206 *** (p = 0.000) | 17.362 * (p = 0.067) | |
28.199 (p = 0.105) | 32.332 ** (p = 0.040) | 49.436 *** (p = 0.000) | 248.79 *** (p = 0.000) | 21.156 (p = 0.378) | 22.316 (p = 0.324) | 33.926 ** (p = 0.027) | 33.627 ** (p = 0.029) | 44.897 *** (p = 0.001) | 43.686 *** (p = 0.002) | |
32.880 (p = 0.328) | 43.626 ** (p = 0.052) | 57.666 *** (p = 0.002) | 329.07 *** (p = 0.000) | 29.663 (p = 0.483) | 38.154 (p = 0.146) | 41.192 * (p = 0.084) | 48.984 ** (p = 0.016) | 55.703 *** (p = 0.003) | 52.581 *** (p = 0.007) |
Variables | Level Variable | 1st Difference Variable | 2nd Difference Variable | ||||||
---|---|---|---|---|---|---|---|---|---|
t-Statistics | |||||||||
−36.329 *** (p = 0.000) | −36.343 *** (p = 0.000) | −0.1193 (p = 0.6424) | −18.606 *** (p = 0.000) | −18.615 *** (p = 0.000) | −18.624 *** (p = 0.000) | −17.139 *** (p = 0.000) | −17.146 *** (p = 0.000) | −17.153 *** (p = 0.000) | |
−23.199 *** (p = 0.000) | −23.197 *** (p = 0.000) | −0.0611 (p = 0.6622) | −15.692 *** (p = 0.000) | −15.699 *** (p = 0.000) | −15.706 *** (p = 0.000) | −17.146 *** (p = 0.000) | −17.154 *** (p = 0.000) | −17.162 *** (p = 0.000) | |
−22.005 *** (p = 0.000) | −22.006 *** (p = 0.000) | −0.0189 (p = 0.6763) | −15.911 *** (p = 0.000) | −15.918 *** (p = 0.000) | −15.925 *** (p = 0.000) | −16.347 *** (p = 0.000) | −16.354 *** (p = 0.000) | −16.361 *** (p = 0.000) | |
−12.528 *** (p = 0.000) | −12.534 *** (p = 0.000) | −0.0823 (p = 0.7087) | −14.809 *** (p = 0.000) | −14.815 *** (p = 0.000) | −14.821 *** (p = 0.000) | −15.445 *** (p = 0.000) | −15.452 *** (p = 0.000) | −15.459 *** (p = 0.000) | |
−36.055 *** (p = 0.000) | −36.070 *** (p = 0.000) | −0.0532 (p = 0.6996) | −16.328 *** (p = 0.000) | −16.335 *** (p = 0.000) | −16.341 *** (p = 0.000) | −16.740 *** (p = 0.000) | −16.745 *** (p = 0.000) | −16.753 *** (p = 0.000) | |
−33.465 *** (p = 0.000) | −33.480 *** (p = 0.000) | −0.2165 (p = 0.6996) | −18.101 *** (p = 0.000) | −18.109 *** (p = 0.000) | −18.118 *** (p = 0.000) | −17.499 *** (p = 0.000) | −17.507 *** (p = 0.000) | −17.515 *** (p = 0.000) | |
−22.922 *** (p = 0.000) | −22.866 *** (p = 0.000) | −0.0022 (p = 0.6825) | −16.153 *** (p = 0.000) | −16.159 *** (p = 0.000) | −16.166 *** (p = 0.000) | −16.893 *** (p = 0.000) | −16.901 *** (p = 0.000) | −16.907 *** (p = 0.000) | |
−34.442 *** (p = 0.000) | −34.391 *** (p = 0.000) | −0.0319 (p = 0.6720) | −15.726 *** (p = 0.000) | −15.732 *** (p = 0.000) | −15.739 *** (p = 0.000) | −16.948 *** (p = 0.000) | −16.956 *** (p = 0.000) | −16.964 *** (p = 0.000) | |
−39.382 *** (p = 0.000) | −39.393 *** (p = 0.000) | −0.0077 (p = 0.6850) | −17.256 *** (p = 0.000) | −17.263 *** (p = 0.000) | −17.270 *** (p = 0.000) | −17.041 *** (p = 0.000) | −17.049 *** (p = 0.000) | −17.056 *** (p = 0.000) | |
−36.447 *** (p = 0.000) | −36.461 *** (p = 0.000) | −0.0675 (p = 0.6850) | −16.137 *** (p = 0.000) | −16.145 *** (p = 0.000) | −16.152 *** (p = 0.000) | −17.097 *** (p = 0.000) | −17.102 *** (p = 0.000) | −17.109 *** (p = 0.000) |
AR(1) | GARCH | LLH | AIC | SIC | HIC | |||||
---|---|---|---|---|---|---|---|---|---|---|
1.054122 *** (p = 0.0000) | −0.051714 *** (p = 0.0080) | 0.0000775 *** (p = 0.0000) | 0.060582 *** (p = 0.0000) | 0.895008 *** (p = 0.0000) | 2925 | −3.60 | −3.58 | −3.59 | ||
1.075821 *** (p = 0.0000) | −0.072808 *** (p = 0.0006) | 0.000160 *** (p = 0.0000) | 0.073061 *** (p = 0.0000) | 0.869725 *** (p = 0.0000) | 2538 | −3.12 | −3.10 | −3.11 | ||
1.224324 *** (p = 0.0000) | −0.224454 *** (p = 0.0116) | 6.82E−09 *** (p = 0.0004) | 0.118990 *** (p = 0.0000) | 0.880962 *** (p = 0.0000) | 8066 | −9.94 | −9.92 | −9.94 | ||
1.050704 *** (p = 0.0000) | −0.051973 ** (p = 0.0454) | 0.000392 *** (p = 0.0000) | 0.337334 *** (p = 0.0000) | 0.641374 *** (p = 0.0000) | 2322 | −2.85 | −2.84 | −2.85 | ||
1.039144 *** (p = 0.0000) | −0.037239 (p = 0.1543) | 0.000271 *** (p = 0.0000) | 0.089293 *** (p = 0.0000) | 0.833616 *** (p = 0.0000) | 2380 | −2.93 | −2.91 | −2.92 | ||
1.031207 *** (p = 0.0000) | −0.030796 (p = 0.3473) | 0.000129 *** (p = 0.0000) | 0.077802 *** (p = 0.0000) | 0.901260 *** (p = 0.0000) | 2161 | −2.66 | −2.64 | −2.65 | ||
1.029506 *** (p = 0.0000) | −0.029788 (p = 0.2788) | 9.69E−05 *** (p = 0.0000) | 0.110921 *** (p = 0.0000) | 0.882065 *** (p = 0.0000) | 2175 | −2.67 | −2.66 | −2.67 | ||
1.113165 *** (p = 0.0000) | −0.110605 *** (p = 0.0000) | 9.07E−05 *** (p = 0.0000) | 0.092967 *** (p = 0.0000) | 0.887105 *** (p = 0.0000) | 2498 | −3.07 | −3.05 | −3.07 | ||
1.084713 *** (p = 0.0000) | −0.083321 *** (p = 0.0000) | 4.36E−05 *** (p = 0.0000) | 0.056496 *** (p = 0.0000) | 0.938592 *** (p = 0.0000) | 2161 | −2.66 | −2.64 | −2.65 | ||
1.059275 *** (p = 0.0000) | −0.057302 ** (p = 0.0375) | 0.000113 *** (p = 0.0000) | 0.081906 *** (p = 0.0000) | 0.899729 *** (p = 0.0000) | 2153 | −2.65 | −2.63 | −2.64 |
Return Index | Pre_COVID-19 (1) | COVID-19 (2) | Full Period (3) | (2)–(1) | (2)–(3) |
---|---|---|---|---|---|
0.041508 | 0.039749 | 0.040666 | −0.001759 | −0.000917 | |
0.051479 | 0.051481 | 0.051480 | 0.000002 | 0.000001 | |
0.004809 | 0.000730 | 0.002857 | −0.004079 | −0.002127 | |
0.062983 | 0.064909 | 0.063905 | 0.001926 | 0.001004 | |
0.058295 | 0.056452 | 0.057413 | −0.001843 | −0.000961 | |
0.072249 | 0.062369 | 0.067519 | −0.009880 | −0.005150 | |
0.073247 | 0.064930 | 0.069265 | −0.008317 | −0.004335 | |
0.056321 | 0.053340 | 0.054894 | −0.002981 | −0.001554 | |
0.073962 | 0.063003 | 0.068715 | −0.010959 | −0.005712 | |
0.071897 | 0.063170 | 0.067719 | −0.008727 | −0.004549 |
Correlation | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
1.000000 | 0.776808 | 0.281069 | 0.424849 | 0.689947 | 0.634587 | 0.523330 | 0.792656 | 0.653542 | 0.693236 | |
0.776808 | 1.000000 | 0.215460 | 0.502605 | 0.716635 | 0.659216 | 0.467497 | 0.814021 | 0.656849 | 0.616062 | |
0.281069 | 0.215460 | 1.000000 | 0.134521 | 0.208981 | 0.282569 | 0.292132 | 0.260092 | 0.292969 | 0.265776 | |
0.424849 | 0.502605 | 0.134521 | 1.000000 | 0.630485 | 0.394366 | 0.490050 | 0.439728 | 0.466209 | 0.382584 | |
0.689947 | 0.716635 | 0.208981 | 0.630485 | 1.000000 | 0.578735 | 0.438103 | 0.676326 | 0.615683 | 0.549046 | |
0.634587 | 0.659216 | 0.282569 | 0.394366 | 0.578735 | 1.000000 | 0.493803 | 0.739067 | 0.746646 | 0.586670 | |
0.523330 | 0.467497 | 0.292132 | 0.490050 | 0.438103 | 0.493803 | 1.000000 | 0.466423 | 0.564658 | 0.460194 | |
0.792656 | 0.814021 | 0.260092 | 0.439728 | 0.676326 | 0.739067 | 0.466423 | 1.000000 | 0.764007 | 0.768529 | |
0.653542 | 0.656849 | 0.292969 | 0.466209 | 0.615683 | 0.746646 | 0.564658 | 0.764007 | 1.000000 | 0.736894 | |
0.693236 | 0.616062 | 0.265776 | 0.382584 | 0.549046 | 0.586670 | 0.460194 | 0.768529 | 0.736894 | 1.000000 | |
Minimum | 0.281069 | 0.215460 | 0.134521 | 0.134521 | 0.208981 | 0.282569 | 0.292132 | 0.260092 | 0.292969 | 0.265776 |
Maximum | 0.792656 | 0.814021 | 0.292969 | 0.630485 | 0.716635 | 0.746646 | 0.564658 | 0.814021 | 0.764007 | 0.768529 |
Average | 0.6470024 | 0.6425153 | 0.3233569 | 0.4865397 | 0.6103941 | 0.6115659 | 0.519619 | 0.6720849 | 0.6497457 | 0.6058991 |
Correlation | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
1.000000 | 0.707955 | 0.330240 | 0.509360 | 0.675031 | 0.603496 | 0.533173 | 0.819559 | 0.686039 | 0.708381 | |
0.707955 | 1.000000 | 0.318743 | 0.630937 | 0.677730 | 0.591474 | 0.402037 | 0.805435 | 0.651593 | 0.565191 | |
0.330240 | 0.318743 | 1.000000 | 0.196235 | 0.228384 | 0.274286 | 0.317141 | 0.339486 | 0.320246 | 0.253864 | |
0.509360 | 0.630937 | 0.196235 | 1.000000 | 0.701694 | 0.387791 | 0.437912 | 0.536644 | 0.554319 | 0.388788 | |
0.675031 | 0.677730 | 0.228384 | 0.701694 | 1.000000 | 0.454941 | 0.357114 | 0.597625 | 0.561834 | 0.455023 | |
0.603496 | 0.591474 | 0.274286 | 0.387791 | 0.454941 | 1.000000 | 0.409046 | 0.711409 | 0.644365 | 0.463473 | |
0.533173 | 0.402037 | 0.317141 | 0.437912 | 0.357114 | 0.409046 | 1.000000 | 0.462733 | 0.614799 | 0.428417 | |
0.819559 | 0.805435 | 0.339486 | 0.536644 | 0.597625 | 0.711409 | 0.462733 | 1.000000 | 0.750222 | 0.739181 | |
0.686039 | 0.651593 | 0.320246 | 0.554319 | 0.561834 | 0.644365 | 0.614799 | 0.750222 | 1.000000 | 0.674533 | |
0.708381 | 0.565191 | 0.253864 | 0.388788 | 0.455023 | 0.463473 | 0.428417 | 0.739181 | 0.674533 | 1.000000 | |
Minimum | 0.330240 | 0.318743 | 0.196235 | 0.196235 | 0.228384 | 0.274286 | 0.317141 | 0.339486 | 0.320246 | 0.253864 |
Maximum | 0.819559 | 0.805435 | 0.339486 | 0.701694 | 0.701694 | 0.711409 | 0.614799 | 0.819559 | 0.750222 | 0.739181 |
Average | 0.6573234 | 0.6351095 | 0.3578625 | 0.534368 | 0.5709376 | 0.5540281 | 0.4962372 | 0.6762294 | 0.645795 | 0.5676851 |
Correlation | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
1.000000 | 0.858839 | 0.477586 | 0.329774 | 0.728852 | 0.673157 | 0.508551 | 0.767655 | 0.610086 | 0.688878 | |
0.858839 | 1.000000 | 0.449101 | 0.392509 | 0.828315 | 0.785365 | 0.594386 | 0.827712 | 0.699520 | 0.774880 | |
0.477586 | 0.449101 | 1.000000 | 0.105073 | 0.341076 | 0.409906 | 0.243316 | 0.307797 | 0.138836 | 0.156834 | |
0.329774 | 0.392509 | 0.105073 | 1.000000 | 0.531854 | 0.435479 | 0.601903 | 0.350426 | 0.391736 | 0.414526 | |
0.728852 | 0.828315 | 0.341076 | 0.531854 | 1.000000 | 0.812879 | 0.601509 | 0.820240 | 0.724326 | 0.762379 | |
0.673157 | 0.785365 | 0.409906 | 0.435479 | 0.812879 | 1.000000 | 0.624312 | 0.790189 | 0.864738 | 0.789139 | |
0.508551 | 0.594386 | 0.243316 | 0.601903 | 0.601509 | 0.624312 | 1.000000 | 0.487252 | 0.479866 | 0.498825 | |
0.767655 | 0.827712 | 0.307797 | 0.350426 | 0.820240 | 0.790189 | 0.487252 | 1.000000 | 0.785721 | 0.872285 | |
0.610086 | 0.699520 | 0.138836 | 0.391736 | 0.724326 | 0.864738 | 0.479866 | 0.785721 | 1.000000 | 0.844125 | |
0.688878 | 0.774880 | 0.156834 | 0.414526 | 0.762379 | 0.789139 | 0.498825 | 0.872285 | 0.844125 | 1.000000 | |
Minimum | 0.329774 | 0.392509 | 0.105073 | 0.105073 | 0.341076 | 0.409906 | 0.243316 | 0.307797 | 0.138836 | 0.156834 |
Maximum | 0.858839 | 0.858839 | 0.477586 | 0.601903 | 0.828315 | 0.864738 | 0.624312 | 0.872285 | 0.864738 | 0.872285 |
Average | 0.6643378 | 0.7210627 | 0.3629525 | 0.455328 | 0.715143 | 0.7185164 | 0.563992 | 0.7009277 | 0.6538954 | 0.6801871 |
DCC(1,1) | LLH | SIC | DCC(1,1) | LLH | SIC | ||||
---|---|---|---|---|---|---|---|---|---|
0.059207 *** (0.0000) | 0.931559 *** (0.0000) | −2771815 | 3419 | 0.059192 *** (0.0000) | 0.931558 *** (0.0000) | −2770250 | 17 | ||
0.058019 *** (0.0000) | 0.927671 *** (0.0000) | −752884 | 928 | 0.039144 *** (0.0000) | 0.975561 *** (0.0000) | −5206703 | 6424 | ||
0.059859 *** (0.0000) | 0.932308 *** (0.0000) | −22687280 | 27991 | 0.059832 *** (0.0000) | 0.932277 *** (0.0000) | −19675829 | 24276 | ||
0.059641 *** (0.0000) | 0.932072 *** (0.0000) | −8820785 | 10883 | 0.058988 *** (0.0000) | 0.931386 *** (0.0000) | −2816160 | 3474 | ||
0.059800 *** (0.0000) | 0.932236 *** (0.0000) | −14754445 | 18204 | 0.059671 *** (0.0000) | 0.932067 *** (0.0000) | −8867302 | 10940 | ||
0.059763 *** (0.0000) | 0.932193 *** (0.0000) | −14013995 | 17290 | 0.059753 *** (0.0000) | 0.932179 *** (0.0000) | −4032724 | 17313 | ||
0.058533 *** (0.0000) | 0.930968 *** (0.0000) | −1154885 | 1424 | 0.060000 *** (0.0000) | 0.932472 *** (0.0000) | −765969 | 945 | ||
0.59694 *** (0.0000) | 0.932117 *** (0.0000) | −10202643 | 12588 | 0.059535 *** (0.0000) | 0.931893 *** (0.0000) | −6670654 | 8230 | ||
0.059659 *** (0.0000) | 0.932085 *** (0.0000) | −8168736 | 10078 | 0.059562 *** (0.0000) | 0.931949 *** (0.0000) | −6566249 | 8101 |
DCC(1,1) | Full Period | Pre-COVID | COVID | DCC(1,1) | Full Period | Pre-COVID | COVID |
---|---|---|---|---|---|---|---|
0.778316 | 0.77948 | 0.777049 | 0.778307 | 0.779468 | 0.777042 | ||
−0.017080 | 0.013162 | −0.050011 | 0.005532 | 0.072424 | −0.067308 | ||
0.639410 | 0.633941 | 0.645365 | 0.725803 | 0.747717 | 0.70194 | ||
0.773738 | 0.754496 | 0.794691 | 0.803866 | 0.801298 | 0.806663 | ||
0.699301 | 0.672014 | 0.729014 | 0.740293 | 0.722064 | 0.760142 | ||
0.624351 | 0.615718 | 0.633752 | 0.681546 | 0.677399 | 0.686063 | ||
0.708394 | 0.727672 | 0.687401 | 0.714453 | 0.753233 | 0.672226 | ||
0.690766 | 0.685013 | 0.69703 | 0.740066 | 0.744708 | 0.735012 | ||
0.658295 | 0.642678 | 0.675301 | 0.730576 | 0.731375 | 0.729706 |
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Yan, K.; Yan, H.; Gupta, R. Are GARCH and DCC Values of 10 Cryptocurrencies Affected by COVID-19? J. Risk Financial Manag. 2022, 15, 113. https://doi.org/10.3390/jrfm15030113
Yan K, Yan H, Gupta R. Are GARCH and DCC Values of 10 Cryptocurrencies Affected by COVID-19? Journal of Risk and Financial Management. 2022; 15(3):113. https://doi.org/10.3390/jrfm15030113
Chicago/Turabian StyleYan, Kejia, Huqin Yan, and Rakesh Gupta. 2022. "Are GARCH and DCC Values of 10 Cryptocurrencies Affected by COVID-19?" Journal of Risk and Financial Management 15, no. 3: 113. https://doi.org/10.3390/jrfm15030113
APA StyleYan, K., Yan, H., & Gupta, R. (2022). Are GARCH and DCC Values of 10 Cryptocurrencies Affected by COVID-19? Journal of Risk and Financial Management, 15(3), 113. https://doi.org/10.3390/jrfm15030113