Model

Variable

Coefficient

t-Stat

Prob

Bitcoin Model

D(BTC)

0.029***

2.910

0.005

D(EXR)

−1.22**

−2.499

0.015

D(EXR(−1)

0.810*

1.571

0.099

CointEq(−1)

−0.167***

−2.914

0.005

Ethereum Model

D(ETH)

0.013*

1.798

0.077

D(EXR)

−1.156**

−2.199

0.032

D(EXR(−1)

0.810*

1.571

0.099

CointEq(−1)

−0.092**

−1.855

0.068

Ripple Model

D(RPL)

0.002

0.567

0.572

D(EXR)

−1.416***

−2.725

0.008

D(EXR(−1)

1.025**

2.014

0.048

CointEq(−1)

−0.025

−2.780

0.023

CRYP Model

D(CRYP)

0.128

3.566

0.000

D(EXR)

−0.731

−1.749

0.085

D(EXR(−1)

−0.186

−3.543

0.000

CointEq(−1)

−0.186

−3.643

0.000