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*** |