Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market

Table 3

Nonlinear Granger at original series.

	BTC	USDT	XLM	ETH	BNB	XEM	LTC	XRP	EOS	DASH	XMR	BCH	DOGE	VET	LINK	THETA
BTC		−0.595	1.777	0.509	1.599	0.478	0.842	2.669	1.625	1.669	1.425	0.781	1.655	2.028	2.442	2.065
USDT	0.719		1.057	0.835	2.468	0.08	2.299	1.325	1.894	1.545	1.314	2.334	−1.285	−0.644	2.124	1.272
XLM	1.324	−1.281		−0.227	0.5	2.483	1.167	2.271	0.325	0.863	1.412	0.185	0.692	1.829	2.463	2.527
ETH	1.495	0.835	1.489		2.768	0.332	1.609	1.892	1.495	2.188	2.396	1.614	1.991	1.713	3.485	2.581
BNB	1.182	−0.316	1.497	1.174		1.792	1.48	1.65	1.969	2.911	1.584	1.733	0.249	1.809	2.931	2.495
XEM	0.447	−1.176	1.123	1.136	1.812		1.633	1.64	0.772	2.196	−0.118	0.909	1.061	0.628	1.982	1.935
LTC	1.414	0.787	1.274	0.357	1.723	0.738		2.041	2.574	1.874	1.774	2.247	2.136	1.821	2.421	2.027
XRP	2.845	−0.209	3.618	2.344	2.694	1.522	2.964		2.181	2.876	2.585	2.452	1.47	2.749	2.495	3.093
EOS	2.429	−0.135	1.853	0.619	1.896	0.801	3.338	2.166		2.546	2.632	2.432	1.061	2.342	2.836	2.704
DASH	2.863	−1.15	2.321	2.16	3.221	1.824	3.597	2.236	2.891		3.028	2.913	1.843	2.614	3.801	2.203
XMR	2.619	0.521	2.479	2.118	2.701	1.812	2.598	2.588∗∗∗	2.056	2.108		2.385	0.774	2.31	3.487	2.061
BCH	0.969	0.254	2.351	0.892	1.958	0.316	2.622	2.236	1.091	1.718	0.915		1.034	1.514	2.983	1.726
DOGE	0.194	−2.771	0.509	0.327	0.314	0.509	0.939	0.622	0.103	0.879	0.895	0.938		1.678	1.602	0.58
VET	0.924	−2.704	1.425	0.775	−0.393	1.687	1.829	2.884	0.96	0.82	1.328	1.453	1.149		1.872	3.044
LINK	0.968	0.597	1.873	1.174	1.866	1.036	0.872	1.9	1.956	1.441	2.045	0.308	0.77	0.868		2.595
THETA	1.2	−1.221	1.08	1.011	1.903	−0.094	1.311	0.721	1.512	1.374	1.195	0.75	0.476	0.646	1.742

Note: , , represent the significance tests are passed, respectively, under 10%, 5%, and 1%.