Total and directional return and volatility spillover indices
| SSE | Bitcoin | Ether | Gold | Tether | TrueUSD | |
|---|---|---|---|---|---|---|
| Total returns spillover index: 50.99% | ||||||
| Directional return spillover indices | ||||||
| I to All | 4.66 | 8.00 | 5.58 | 4.23 | 14.54 | 13.95 |
| All to I | 0.41 | 21.37 | 24.63 | 0.25 | 2.02 | 2.29 |
| Net I to All | 4.25 | −13.36 | −19.05 | 3.98 | 12.52 | 11.65 |
| Pairwise directional return spillover indices | ||||||
| SSE | 12.00 | 1.75 | 2.41 | 0.08 | 0.20 | 0.20 |
| Bitcoin | 0.01 | 8.66 | 7.85 | 0.07 | 0.03 | 0.03 |
| Ether | 0.02 | 5.46 | 11.08 | 0.04 | 0.02 | 0.02 |
| Gold | 0.14 | 2.17 | 1.91 | 12.42 | 0.01 | 0.01 |
| Tether | 0.05 | 6.23 | 6.19 | 0.02 | 2.11 | 2.02 |
| TrueUSD | 0.17 | 5.73 | 6.25 | 0.02 | 1.75 | 2.71 |
| Total volatility spillover index: 70.20% | ||||||
| Directional volatility spillover indices | ||||||
| I to All | 5.93 | 2.72 | 16.66 | 16.26 | 11.94 | 16.66 |
| All to I | 1.03 | 46.46 | 0.020 | 0.06 | 22.57 | 0.05 |
| Net I to All | 4.90 | −43.74 | 16.64 | 16.19 | −10.62 | 16.61 |
| Pairwise directional volatility spillover indices | ||||||
| SSE | 10.72 | 4.31 | 0.01 | 0.01 | 1.54 | 0.04 |
| Bitcoin | 0.01 | 13.94 | 0.01 | 0.04 | 2.67 | 0.01 |
| Ether | 0.13 | 12.20 | 0.01 | 0.01 | 4.32 | 0.01 |
| Gold | 0.82 | 4.85 | 0.01 | 0.40 | 10.58 | 0.01 |
| Tether | 0.01 | 11.94 | 0.01 | 0.01 | 4.71 | 0.01 |
| TrueUSD | 0.05 | 13.16 | 0.01 | 0.01 | 3.44 | 0.01 |
| SSE | Bitcoin | Ether | Gold | Tether | TrueUSD | |
|---|---|---|---|---|---|---|
| I to All | 4.66 | 8.00 | 5.58 | 4.23 | 14.54 | 13.95 |
| All to I | 0.41 | 21.37 | 24.63 | 0.25 | 2.02 | 2.29 |
| Net I to All | 4.25 | −13.36 | −19.05 | 3.98 | 12.52 | 11.65 |
| SSE | 12.00 | 1.75 | 2.41 | 0.08 | 0.20 | 0.20 |
| Bitcoin | 0.01 | 8.66 | 7.85 | 0.07 | 0.03 | 0.03 |
| Ether | 0.02 | 5.46 | 11.08 | 0.04 | 0.02 | 0.02 |
| Gold | 0.14 | 2.17 | 1.91 | 12.42 | 0.01 | 0.01 |
| Tether | 0.05 | 6.23 | 6.19 | 0.02 | 2.11 | 2.02 |
| TrueUSD | 0.17 | 5.73 | 6.25 | 0.02 | 1.75 | 2.71 |
| I to All | 5.93 | 2.72 | 16.66 | 16.26 | 11.94 | 16.66 |
| All to I | 1.03 | 46.46 | 0.020 | 0.06 | 22.57 | 0.05 |
| Net I to All | 4.90 | −43.74 | 16.64 | 16.19 | −10.62 | 16.61 |
| SSE | 10.72 | 4.31 | 0.01 | 0.01 | 1.54 | 0.04 |
| Bitcoin | 0.01 | 13.94 | 0.01 | 0.04 | 2.67 | 0.01 |
| Ether | 0.13 | 12.20 | 0.01 | 0.01 | 4.32 | 0.01 |
| Gold | 0.82 | 4.85 | 0.01 | 0.40 | 10.58 | 0.01 |
| Tether | 0.01 | 11.94 | 0.01 | 0.01 | 4.71 | 0.01 |
| TrueUSD | 0.05 | 13.16 | 0.01 | 0.01 | 3.44 | 0.01 |
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