Table A2. Estimation analysis (with...

Table A2.

Estimation analysis (with arithmetic return)

Variable	return_no_log^VNIndex	digital^GSVI	digital^GSVI
Panel 4–1. VAR-Granger estimation
return_no_log^VNIndex	–	9.901***	9.901***
digital^GSVI	1.8498	–	1.8498
Variable	return_no_log^VN³⁰	digital^GSVI	digital^GSVI
return_no_log^VN³⁰	–	8.9725**	8.9725**
digital^GSVI	1.4135	–	1.4135
Variable	return_no_log^VN¹⁰⁰	digital^GSVI	All
return_no_log^VN¹⁰⁰	–	10.704***	10.704***
digital^GSVI	1.7764	–	1.7764

Variable	return_no_log^VNIndex	digital^GSVI	digital^GSVI
Panel 4–1. VAR-Granger estimation
return_no_log^VNIndex	–	9.901***	9.901***
digital^GSVI	1.8498	–	1.8498
Variable	return_no_log^VN³⁰	digital^GSVI	digital^GSVI
return_no_log^VN³⁰	–	8.9725**	8.9725**
digital^GSVI	1.4135	–	1.4135
Variable	return_no_log^VN¹⁰⁰	digital^GSVI	All
return_no_log^VN¹⁰⁰	–	10.704***	10.704***
digital^GSVI	1.7764	–	1.7764

Variable	Return_no_log^VNIndex		Return_no_log^VN³⁰		Return_no_log^VN¹⁰⁰
Variable	Coeficient	t-statistic	Coeficient	t-statistic	Coeficient	t-statistic
Panel 4–2. OLS estimation
return_no_log_t_-1	0.3453624***	4.92	0.3243869***	4.62	0.3449814***	4.92
return_no_log_t_-2	−0.0808398	−1.18	−0.0680587	−0.99	−0.0815003	−1.19
digital^GSVI	−0.0017943	−0.93	−0.0014848	−0.73	−0.0014667	−0.72
$d i g i t a l_{t - 1}^{G S V I}$	−0.0051437**	−2.50	−0.0051968**	−2.41	−0.0057832***	−2.68
$d i g i t a l_{t - 2}^{G S V I}$	0.0027792	1.41	0.0022742	1.10	0.0027932	1.35
Cons.	0.0047502*	1.86	0.0053509*	2.00	0.0053957*	2.01
N	207		207		207
F-value	7.44***		6.63***		7.55***
R-Square	0.1562		0.1416		0.1580

Variable	Return_no_log^VNIndex		Return_no_log^VN³⁰		Return_no_log^VN¹⁰⁰
Variable	Coeficient	t-statistic	Coeficient	t-statistic	Coeficient	t-statistic
Panel 4–2. OLS estimation
return_no_log_t_-1	0.3453624***	4.92	0.3243869***	4.62	0.3449814***	4.92
return_no_log_t_-2	−0.0808398	−1.18	−0.0680587	−0.99	−0.0815003	−1.19
digital^GSVI	−0.0017943	−0.93	−0.0014848	−0.73	−0.0014667	−0.72
$d i g i t a l_{t - 1}^{G S V I}$	−0.0051437**	−2.50	−0.0051968**	−2.41	−0.0057832***	−2.68
$d i g i t a l_{t - 2}^{G S V I}$	0.0027792	1.41	0.0022742	1.10	0.0027932	1.35
Cons.	0.0047502*	1.86	0.0053509*	2.00	0.0053957*	2.01
N	207		207		207
F-value	7.44***		6.63***		7.55***
R-Square	0.1562		0.1416		0.1580

Variable	Clayton	Gumbel	Gaussian
Panel 4–3. Estimated parameters of the pair variables of digital^GSVI and return_no_log^VNIndex
Parameter	−0.06499	1	−0.086*
Loglikeihood	0.4553	−2.277e-07	0.7092

Variable	Clayton	Gumbel	Gaussian
Panel 4–3. Estimated parameters of the pair variables of digital^GSVI and return_no_log^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 *, **, and *** are significant at the 10, 5, and 1% levels, respectively *is the fittest estimation

Source(s): the authors

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