Table 2. Estimation analysis Variable...

Table 2.

Estimation analysis

Variable	Return^vnindex	Digital^gsvi	All
Panel 2 - 1. VAR-Granger estimation
return^VNIndex	–	10.182***	10.182***
digital^GSVI	1.9011	–	1.9011
Variable	return^VN³⁰	digital^GSVI	All
return^VN³⁰	–	9.3026***	9.3026***
digital^GSVI	1.4789	–	1.4789
Variable	return^VN¹⁰⁰	digital^GSVI	All
return^VN¹⁰⁰	–	11.051***	11.051***
digital^GSVI	1.8535	–	1.8535

Variable	Return^vnindex	Digital^gsvi	All
Panel 2 - 1. VAR-Granger estimation
return^VNIndex	–	10.182***	10.182***
digital^GSVI	1.9011	–	1.9011
Variable	return^VN³⁰	digital^GSVI	All
return^VN³⁰	–	9.3026***	9.3026***
digital^GSVI	1.4789	–	1.4789
Variable	return^VN¹⁰⁰	digital^GSVI	All
return^VN¹⁰⁰	–	11.051***	11.051***
digital^GSVI	1.8535	–	1.8535

Variable	Return^vnindex		Return^vn³⁰		Return^vn¹⁰⁰
Variable	Coeficient	t-statistic	Coeficient	t-statistic	Coeficient	t-statistic
Panel 2 - 2. OLS estimation
return_t_-1	0.3526431***	5.02	0.3309948***	4.71	0.3509134***	5.00
return_t_-2	−0.0760245	−1.11	−0.0627852	−0.91	−0.0758118	−1.10
digital^GSVI	−0.0018637	−0.96	−0.0015548	−0.76	−0.0015325	−0.75
$d i g i t a l_{t - 1}^{G S V I}$	−0.0052159**	−2.53	−0.0052877**	−2.45	−0.005878***	−2.72
$d i g i t a l_{t - 2}^{G S V I}$	0.0028854	1.46	0.0023829	1.15	0.002905	1.40
Cons.	0.0045067*	1.77	0.0050915*	1.90	0.0051313*	1.92
N	207		207		207
F-value	7.76***		6.93***		7.83***
R-Square	0.1618		0.1471		0.1630

Variable	Return^vnindex		Return^vn³⁰		Return^vn¹⁰⁰
Variable	Coeficient	t-statistic	Coeficient	t-statistic	Coeficient	t-statistic
Panel 2 - 2. OLS estimation
return_t_-1	0.3526431***	5.02	0.3309948***	4.71	0.3509134***	5.00
return_t_-2	−0.0760245	−1.11	−0.0627852	−0.91	−0.0758118	−1.10
digital^GSVI	−0.0018637	−0.96	−0.0015548	−0.76	−0.0015325	−0.75
$d i g i t a l_{t - 1}^{G S V I}$	−0.0052159**	−2.53	−0.0052877**	−2.45	−0.005878***	−2.72
$d i g i t a l_{t - 2}^{G S V I}$	0.0028854	1.46	0.0023829	1.15	0.002905	1.40
Cons.	0.0045067*	1.77	0.0050915*	1.90	0.0051313*	1.92
N	207		207		207
F-value	7.76***		6.93***		7.83***
R-Square	0.1618		0.1471		0.1630

	Clayton	Gumbel	Gaussian
Panel 2–3. Estimated parameters of the pair variables of digital^GSVI and return^VNIndex
Parameter	−0.06499	1	−0.086†
Loglikeihood	0.4553	−2.277e-07	0.7092

	Clayton	Gumbel	Gaussian
Panel 2–3. Estimated parameters of the pair variables of digital^GSVI and return^VNIndex
Parameter	−0.06499	1	−0.086†
Loglikeihood	0.4553	−2.277e-07	0.7092

Note(s):

*, **, and *** are significant at the 10, 5 and 1% levels, respectively; The null hypothesis is that the variable in the row is not a Granger cause variable in the column.; † is the fittest estimation

Source(s): the authors

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