Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market

Table 7

Variance decomposition under D1 and D8.

	E1	R1	E8	R8
BTC	0.031598862	0.331499371	0.162869273	0.367568582
USDT	0.022759805	0.322926561	0.159920324	0.360501403
XLM	0.029465532	0.299483116	0.129024966	0.304571259
ETH	0.03334609	0.291689594	0.154070093	0.354073605
BNB	0.027358849	0.320791552	0.146497214	0.351841821
XEM	0.02700427	0.29718005	0.136677786	0.318404742
LTC	0.030847272	0.307208371	0.146460891	0.338103864
XRP	0.029534455	0.294918714	0.137492015	0.321451507
EOS	0.030994604	0.285515889	0.150972283	0.353127934
DASH	0.030571503	0.292677478	0.144059299	0.344757499
XMR	0.029445069	0.310724834	0.078361147	0.173421102
BCH	0.029513472	0.313196399	0.133429574	0.312831387
DOGE	0.030496163	0.289546516	0.144039877	0.347102666
VET	0.029977661	0.305307092	0.147001788	0.343447659
LINK	0.027388662	0.304459542	0.139891139	0.327138017
THETA	0.029643945	0.322797859	0.087202167	0.235510653