Variables

BTC

XRP

LTC

XLM

XMR

DAS

BCN

OIL

0.013

−0.467***

0.307

−0.0004

−0.313

0.043

0.130

[0.146]

[0.149]

[0.229]

[0.209]

[0.325]

[0.197]

[0.339]

SP500

0.092

1.560***

−0.773

0.934

−0.110

0.330

−0.647

[0.426]

[0.483]

[0.505]

[0.945]

[0.844]

[0.551]

[0.822]

GOLD

−0.347

0.670

−0.093

0.353

−0.280

−0.225

0.603

0.405

[0.481]

[0.629]

[0.765]

[0.806]

[0.689]

[0.872]

USD

−0.555

−1.285**

−1.497

−0.338

−1.619

−2.596**

1.119

[0.893]

[0.653]

[1.041]

[1.775]

[1.488]

[1.062]

[1.314]

LIBOR

−0.048

4.342***

0.105

0.323

1.177*

1.454**

−3.292***

[0.447]

[0.380]

[0.462]

[0.635]

[0.601]

[0.645]

[0.704]

cons

0.009

−0.025**

0.001

0.0002

0.008

0.002

0.036*

[0.013]

[0.01]

[0.012]

[0.014]

[0.020]

[0.016]

[0.021]

ARMA

AR(1)

0.969***

−0.308

−0.844***

−0.911***

0.511

0.483

0.457

[0.161]

[0.286]

[0.131]

[0.094]

[0.618]

[0.380]

[0.314]

MA(1)

−0.860***

0.554**

0.861***

1.064***

−0.355

−0.283

−0.229

[0.188]

[0.241]

[0.131]

[0.106]

[0.674]

[0.416]

[0.299]

MA(3)

−0.090

−0.115**

−0.096**

−0.192***

−0.034

0.009

0.069

[0.080]

[0.048]

[0.046]

[0.048]

[0.109]

[0.095]

[0.097]

ARCH

L1.ARCH

0.157**

1.139***

0.699***

0.347***

0.213**

0.236**

0.650***

[0.07]

[0.186]

[0.145]

[0.083]

[0.100]

[0.115]

[0.204]

L1.GARCH

0.788***

0.212***

0.055

0.614***

0.202

0.533***

0.303**

[0.084]

[0.072]

[0.065]

[0.074]

[0.304]

[0.200]

[0.124]

cons GARCH

0.001*

0.004**

0.011***

0.004***

0.019**

0.005*

0.014***

[0.0003]

[0.002]

[0.001]

[0.002]

[0.009]

[0.003]

[0.005]

N

203

203

203

203

203

203

203

Log likelihood

192.008

81.109

107.206

54.210

66.557

112.707

18.956

Chi2

266.4***

284.88***

122.06***

128.88***

16.38**

34.89***

39.91***

Test L1.ARCH = 0; L1.GARCH = 0

Chi2[2]

531.07***

70.35***

31.17***

189.11***

6.39**

41.47***

43.89***