Unconditional correlation and volatility (based on t-DCC model)
| Parameters | BTC | JPN | KOR | STI | PHIL | HK |
|---|---|---|---|---|---|---|
| BTC | 0.070765* | – | – | – | – | – |
| JPN | 0.036582 | 0.014019* | – | – | – | – |
| KOR | −0.009961 | 0.133520 | 0.010106** | – | – | – |
| STI | −0.027420 | 0.201950 | 0.576820 | 0.008534** | – | – |
| PHIL | 0.009212 | 0.067884 | 0.424900 | 0.418810 | 0.011383** | – |
| HK | −0.018871 | 0.157810 | 0.622470 | 0.710420 | 0.417870 | 0.012370** |
| Parameters | BTC | JPN | KOR | STI | PHIL | HK |
|---|---|---|---|---|---|---|
| BTC | 0.070765* | – | – | – | – | – |
| JPN | 0.036582 | 0.014019* | – | – | – | – |
| KOR | −0.009961 | 0.133520 | 0.010106** | – | – | – |
| STI | −0.027420 | 0.201950 | 0.576820 | 0.008534** | – | – |
| PHIL | 0.009212 | 0.067884 | 0.424900 | 0.418810 | 0.011383** | – |
| HK | −0.018871 | 0.157810 | 0.622470 | 0.710420 | 0.417870 | 0.012370** |
Notes:
This table shows the unconditional correlation and volatility for Bitcoin and Asian indices based on t-DCC model. The time horizon used in this study was from July 20, 2010 until April 26, 2019 (daily basis data). It involves five Asian countries. The ***, ** and * indicate significance at 1, 5 and 10%, respectively
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