PROMETHEUS ANALYTICS offers a risk analysis and monitoring model following the approach developed by Diebold and Yilmaz (2009 and 2014).

Dernière version : 18 juillet, 2023

Rentability Analysis

Connectedness Measures


Pairwise Connectedness Measures


Net Pairwise Connectedness Measures


Total Connectedness Index (TCI)


BTC


ETH


USDT


USDC


ADA


DOGE


MATIC


LTC


TRX


DOT


BCH


WBTC


DAI


XLM


XRP


BNB


List

BTC: Bitcoin
ETH: Ethereum
USDT: Tether
USDC: USD Coin
ADA: Cardano
DOGE: Dogecoin
MATIC: Polycoin
LTC: Litecoin
TRX: Tron
DOT: Polkadot
BCH: Bitcoin cach
WBTC: Wrapped Bitcoin
DAI: Dai
XLM: Stellar
XRP: XRP
BNB: BNB


Methodology

Connectedness Table: Connectedness table proves central for understanding the various connectedness measures and ther relationships. Its main upper-left NxN block contains the variance decomposition (variance decomposition matrix). From a connectedness perspective, they measure pairwise directional connectedness. The connectedness table makes clear how one begin with the most disaggregated connectedness measures and aggregate them in a various ways to obtain macroeconomic economy-wide total directional and total connectedness.
Pairwise Connectedness Graph: Pairwise Connected Graph is a stringball representation of pairwise directional connectedness.
Net Pairwise Connectedness Graph: Net Pairwise Connected Graph is a stringball representation of net pairwise directional connectedness.
Total Connectedness Index: Total Connectedness Index express the total cross-variance contribution as a percent of total variance.
Plot TO: Dynamic total directional connectedness plot.
Plot FROM: Dynamic from total directional connectedness plot.
Plot NET: Dynamic net total directional connectedness plot.


Volatility Analysis

Connectedness Measures


Pairwise Connectedness Measures


Net Pairwise Connectedness Measures


Total Connectedness Index (TCI)


BTC


ETH


USDT


USDC


ADA


DOGE


MATIC


LTC


TRX


DOT


BCH


WBTC


DAI


XLM


XRP


BNB


List

BTC: Bitcoin
ETH: Ethereum
USDT: Tether
USDC: USD Coin
ADA: Cardano
DOGE: Dogecoin
MATIC: Polycoin
LTC: Litecoin
TRX: Tron
DOT: Polkadot
BCH: Bitcoin cach
WBTC: Wrapped Bitcoin
DAI: Dai
XLM: Stellar
XRP: XRP
BNB: BNB


Methodology

Connectedness Table: Connectedness table proves central for understanding the various connectedness measures and ther relationships. Its main upper-left NxN block contains the variance decomposition (variance decomposition matrix). From a connectedness perspective, they measure pairwise directional connectedness. The connectedness table makes clear how one begin with the most disaggregated connectedness measures and aggregate them in a various ways to obtain macroeconomic economy-wide total directional and total connectedness.
Pairwise Connectedness Graph: Pairwise Connected Graph is a stringball representation of pairwise directional connectedness.
Net Pairwise Connectedness Graph: Net Pairwise Connected Graph is a stringball representation of net pairwise directional connectedness.
Total Connectedness Index: Total Connectedness Index express the total cross-variance contribution as a percent of total variance.
Plot TO: Dynamic total directional connectedness plot.
Plot FROM: Dynamic from total directional connectedness plot.
Plot NET: Dynamic net total directional connectedness plot.