Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market

Table 2

Descriptive statistics.

Currency	Mean	Median	Std. Dev.	Skewness	Kurtosis	Jarque–Bera	ADF	Q(20)	Q^2(20)	ARCH(10)
BTC	−0.0031	−0.0021	0.0392	2.5909	40.032	42937.11	−30.274	43.199	160.61	35.989
ETH	−0.0029	−0.0020	0.0498	2.2086	31.711	25913.29	−30.369	64.372	185.40	67.757
USDT	0.0000	0.0000	0.0023	−0.7359	21.991	11141.54	−16.746	125.27	125.91	289.663
XPR	0.0000	−0.0004	0.0533	0.9335	28.669	20340.53	−29.773	39.224	60.682	106.272
LTC	−0.0022	−0.0005	0.0521	0.7742	15.677	5008.428	−29.215	31.435	60.526	96.292
ADA	−0.0027	−0.0026	0.0556	0.9869	16.067	5363.127	−30.047	37.991	92.335	139.105
BCH	−0.0013	0.0001	0.0559	1.1342	24.982	14996.31	−30.023	36.217	32.89	23.694
XLM	−0.0014	0.0000	0.0580	−1.3879	22.672	12120.04	−27.411	76.673	118.370	166.703
LINK	−0.0053	0.0000	0.0684	0.3002	16.950	5986.531	−30.076	71.227	104.17	167.757
BNB	−0.0026	−0.0023	0.0487	2.4022	31.871	26304.98	−29.783	20.065	38.107	28.899

Note. Q(10) and Q²(10) are the Ljung–Box (LB) statistics for stock index return and squared stock index return series, respectively, for the 10th lag. , , and represent statistical significance at 1%, 5%, and 10% levels, respectively.