Parameters

Panel A: GARCH-BEKK model Bitcoin-Cardano; Bitcoin-Stellar and Cardano-Stellar

Bitcoin-Cardano

Bitcoin-Stellar

Cardano-Stellar

Coefficient/

Probability

Coeff.

Prob.

Coeff.

Prob.

Coeff.

Prob.

${\mu }_1$

−0.206752

0.0565

0.026061

0.8383

−0.124975

0.3303

${\mu }_2$

−0.504132

0.0001

−0.314134

0.0179

−0.225827

0.0635

${\lambda }_1$

0.022831

0.0004

0.004811

0.5567

0.004638

0.1349

${\lambda }_2$

0.017802

0.0000

0.007526

0.0909

0.007282

0.0388

${\omega }_1$

−0.691920

0.0000

−0.869398

0.0000

1.186390

0.0000

${\omega }_2$

−0.858720

0.0000

−0.578287

0.0000

0.774472

0.0000

${\omega }_3$

0.964550

0.0000

0.921172

0.0000

0.606751

0.0000

${\beta }_1$

0.904146

0.0000

0.887495

0.0000

0.918049

0.0000

${\beta }_2$

0.039715

0.0000

0.046305

0.0000

0.008777

0.2030

${\beta }_3$

0.921477

0.0000

0.910495

0.0000

0.932477

0.0000

${\alpha }_1$

0.355698

0.0000

0.355760

0.0000

0.364342

0.0000

${\alpha }_2$

−0.082080

0.0000

−0.062336

0.0000

-0.023069

0.2025

${\alpha }_3$

0.336341

0.0000

0.393115

0.0000

0.329888

0.0000

Log likelihood

−11012.04

−10920.03

−11492.70

Parameters

Panel B: GARCH-BEKK model Cardano-Bitcoin; Stellar-Bitcoin and Stellar-Cardano

Cardano-Bitcoin

Stellar-Bitcoin

Stellar-Cardano

Coefficient/

Probability

Coeff.

Prob.

Coeff.

Prob.

Coeff.

Prob.

${\mu }_1$

−0.404322

0.0035

−0.251917

0.0720

−0.167080

0.2616

${\mu }_2$

−0.151759

0.1930

0.078589

0.5541

0.016344

0.9018

${\lambda }_1$

0.014266

0.0001

0.006620

0.1461

−0.000814

0.7799

${\lambda }_2$

0.018893

0.0071

0.002558

0.7535

−0.003829

0.0182

${\omega }_1$

1.519268

0.0000

1.293862

0.0000

−1.190646

0.0000

${\omega }_2$

0.803766

0.0000

0.569801

0.0000

−1.871089

0.0000

${\omega }_3$

0.457727

0.0000

0.609136

0.0000

−0.134157

0.6634

${\beta }_1$

0.895246

0.0000

0.852869

0.0000

0.971026

0.0000

${\beta }_2$

0.007219

0.5574

0.072408

0.0000

−0.029830

0.0000

${\beta }_3$

0.935555

0.0000

0.944785

0.0000

0.879174

0.0000

${\alpha }_1$

0.420776

0.0000

0.509525

0.0000

−0.209848

0.0000

${\alpha }_2$

−0.103238

0.0000

−0.209222

0.0000

0.346035

0.0000

${\alpha }_3$

0.269245

0.0000

0.257411

0.0000

0.383668

0.0000

Log likelihood

−11025.08

−10920.81

−12002.81