Table 7 REM results Random-effect model... | Emerald Publishing

Table 7

REM results

Random-effect model (REM)
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_EM	0.4007	0.0829	4.83	0.0000	***
R_Gold	0.3507	0.1003	3.50	0.0005	***
ΔYield_3m	0.0856	0.0339	2.52	0.0117	**
ΔVIX	−0.0027	0.0004	−6.73	0.0000	***
ΔVolatility_5d	0.2319	0.0170	13.65	0.0000	***
Constant	0.0023	0.0008	2.70	0.0070	***
Observations	7,192 observations in a panel of 1,651 × 6
R²	0.0347		Adjusted R²	0.0340
Effects specification
	SD	Rho
Cross-section	0.0000	0.0000
Idiosyncratic	0.0717	1.0000

Random-effect model (REM)
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_EM	0.4007	0.0829	4.83	0.0000	***
R_Gold	0.3507	0.1003	3.50	0.0005	***
ΔYield_3m	0.0856	0.0339	2.52	0.0117	**
ΔVIX	−0.0027	0.0004	−6.73	0.0000	***
ΔVolatility_5d	0.2319	0.0170	13.65	0.0000	***
Constant	0.0023	0.0008	2.70	0.0070	***
Observations	7,192 observations in a panel of 1,651 × 6
R²	0.0347		Adjusted R²	0.0340
Effects specification
	SD	Rho
Cross-section	0.0000	0.0000
Idiosyncratic	0.0717	1.0000

Note(s): Dependent variable: RET, the daily return of cryptocurrency

Only statistically significant factors are shown

Significance at the 10, 5 and 1% levels are indicated by *, ** and ***, respectively. The date range is from 12/31/2013 to 08/01/2020