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a). DCC estimations of return and profitability.

a). DCC estimations of return and profitability.

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a). Summary statistic.
b). Summary statistics of unit root, ARMA and LM-test of cryptocurrency.
a). DCC estimations of return and profitability.
b). DCC estimations of return and tweets.
+1 c). DCC estimations of profitability and tweets.
CRYPTOCURRENCY, PROFITABILITY, AND TWEETER: A MGARCH FRAMEWORK
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  • Jul 2022
This paper used two frames based on the Multivariate General Autoregressive Conditional Heteroscedasticity (MGARCH) model, namely the Dynamic Conditional Correlation (DCC) and the Baba, Engle, Kraft, and Kroner (BEKK) models. DCC parameters confirmed the significant results to assess the spillover effects for return volatilities of five cryptocurre...
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Context 1
... highest value is 0.934 for the pair of Ethereum return and profitability, except for Bitcoin and Peercoin pairs. The results of DCC estimations of cryptocurrency return and Tweet are shown in Table 3(b). It shows that the pairs of Dogecoin and Peercoin again demonstrated the MGARCH model's applicability based on the test proposed by Hosking (1980) and Li and McLeod (1981) to determine the existence of multivariate ARCH effects. ...
Context 2
... final DCC estimation results from mining profitability and Tweet are shown in Table 3(c). Again, we find the same results as the applicability of the MGARCH model. ...