Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets

Table 1

Descriptive statistics.

	BC	GD	BO	SP	DQ	NQ	SH	JP	GE	EN
Mean	0.070605	0.05471	‒0.045092	0.047951	0.029011	0.09324	‒0.000158	0.019085	0.004953	−0.026783
Median	0.067047	0.058946	0.167839	0.149765	0.124852	0.194013	0.03062	0.055801	0.080494	0.059978
Maximum	23.63048	4.686004	19.07858	8.968316	10.76433	8.934695	7.548126	7.731375	10.41429	8.666807
Minimum	‒32.14742	‒6.261981	‒30.98756	‒12.76521	‒13.84181	‒13.14915	‒6.712451	‒6.273569	‒13.05486	−11.51243
Std. dev.	5.110593	0.987517	3.355018	1.558724	1.649297	1.70769	1.321642	1.339494	1.560103	1.3618
Skewness	‒0.307979	‒0.580902	‒1.820156	‒1.187611	‒1.18846	‒1.096672	‒0.166518	0.038317	‒0.754934	−1.087716
Kurtosis	8.086177	9.426696	27.51384	18.46515	19.97004	13.69137	7.028823	8.191657	16.77241	16.43635
Jarque–Bera	692.3068	1124.952	16199.01	6456.934	7744.543	3141.686	431.0288	711.0483	5062.918	4886.44