Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market
Table 6
Mutation point test at D1.
BDS test at D1
Quandt–Andrews test at D1
Bai–Perron test at D1
Dimension
Z-statistic
Statistic
Value
Breaks
Weighted F-statistic
2
35.87334
Max LR
27.27269
1
145.1847
3
36.20612
Max Wald
436.3631
2
434.7727
4
36.53463
Exp LR
11.24758
3
582.5047
5
37.66492
Exp Wald
212.3472
4
634.7938
6
39.70935
Ave LR
14.25429
5
702.3262
Ave Wald
228.0686
BDS test at D8
Quandt–Andrews test at D8
Bai–Perron test at D8
Dimension
Z-statistic
Statistic
Value
Breaks
Weighted F-statistic
2
26.60005
Max LR
29.01095
1
464.1752
3
27.80135
Max Wald
464.1752
2
477.6903
4
29.49901
Exp LR
12.44368
3
518.6559
5
31.52829
Exp Wald
227.7935
4
567.7082
6
33.63134
Ave LR
18.9412
5
582.9202
Ave Wald
303.0592
Notes: (1) BDS test is based on the residual series. (2) Bai–Perron test is measured at “Global L breaks versus none” and the maximum mutation points set at Eviews10 is 5.
