Table 11

Results of the GARCH(1,1) method with exogenous variable

(a) Mean equation
RBTCRCardanoRchainlinkREthereumRLitecoinRXRP
VariableCoefficientSigCoefficientSigCoefficientSigCoefficientSigCoefficientSigCoefficientSig
RBTC– 0.0798*0.2816***0.3779***0.4151***0.1280***
RCardano0.0955***– 0.0866***0.0672***0.0697***0.1242***
RChainlink0.0606***  – 0.0726***(0.0468)***  
REthereum0.3255***0.4494***0.5082***– 0.4265***0.3473***
RLitecoin0.2015***0.2434***  0.3673***– 0.1777***
RXRP  0.2899***  0.1815***0.1029***– 
RGold            
REM        (0.1477)*  
RSP500            
RWorld            
ΔYield3m            
ΔYield10Y      (0.0007)**    
ΔYield30Y    0.0020**      
# Obs706 706 706 706 706 706 
(b) Variance equation, GARCH = C + ARCH beta * RESID(−1)ˆ2 + GARCH beta * GARCH(−1) + volume beta * volume)
BitcoinCardanoChainlinkEthereumLitecoinXRP
VariableCoefficientSigCoefficientSigCoefficientSigCoefficientSigCoefficientSigCoefficientSig
C0.0000***0.0000***0.0001***0.0000***  0.0001***
ARCH beta0.1284***0.1880***0.1153***0.1885***0.1091***0.3825***
GARCH beta0.8401***0.8000***0.8723***0.7669***0.9157***0.6314***
Volume beta0.0000***0.0007***    (0.0000)*0.0000***

Note(s): Panel (a) shows the mean equation of daily returns of cryptocurrencies, stocks, bonds and gold. Significant terms are only shown

Panel (b) shows the volatility estimation containing the ARCH and GARCH coefficients

Due to the GARCH estimation requirement, data rows cannot be blank, so a common sample of 706 observations is used for estimation

So, the date range is from 10/04/2017 to 08/01/2020

Significance at the 10, 5 and 1% levels are indicated by *, ** and ***, respectively

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