Spillover | Direction | Whole | A | B | C | D | E |
Mean | CNH→CNY | 0.0027** | −0.2606 | −0.0086 | 0.0761** | 0.1086*** | 0.0210 |
CNY→CNH | 0.1023** | 0.076 | −0.0012 | 0.0572*** | 0.0361*** | −0.1592 | |
Volatility | CNH→CNY | 0.0005 | 0.3504** | −0.0091 | −0.0105 | −0.0162 | −0.0010 |
CNY→CNH | 0.0769*** | −0.0634 | 0.0113 | 0.0074*** | 0.0247*** | 0.0002 |