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)
Q2(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.