Table VII Estimates of the Influence of...

Table VII

Estimates of the Influence of EPU on Bitcoin and gold volatility (Eqn 3) with the quantile regression model for the period 19 July 2010–11 April 2019

$τ$	Coefficient	$V_{2,Bit}$				$V_{2,Gold}$
$τ$	Coefficient	Value	Standard error	t value	Pr (>\| t \|)	Value	Standard error	t value	Pr (>\| t \|)
0.01	(Intercept)	1.57e-10	6.46e-11	2.428	0.0153**	0.02394	0.00279	8.568	<0.0001***
0.01	EPU	−1.42e-12	5.11e-13	−2.778	0.0055***	−6.37e-5	2.29e-5	−2.772	0.0056***
0.05	(Intercept)	0.17211	0.01068	16.11	<0.0001***	0.06521	0.00384	16.98	<0.0001***
0.05	EPU	−0.00101	8.44e-5	−11.91	<0.0001***	−5.53e-5	3.16e-5	−1.752	0.0798*
0.1	(Intercept)	0.21691	0.00894	24.28	<0.0001***	0.07684	0.00265	29.04	<0.0001***
0.1	EPU	−0.00092	7.06e-5	−13.03	<0.0001***	−2.12e-5	2.177e-5	−0.9735	0.3304
0.25	(Intercept)	0.28930	0.01266	22.85	<0.0001***	0.09792	0.00277	35.33	<0.0001***
0.25	EPU	−0.00032	0.00010	−3.156	0.0016***	9.60e-6	2.28e-5	0.4213	0.6736
0.75	(Intercept)	0.80611	0.05008	16.10	<0.0001***	0.17028	0.00535	31.85	<0.0001***
0.75	EPU	0.00140	0.00040	3.527	0.0004***	0.00019	4.39e-5	4.402	<0.0001***
0.9	(Intercept)	1.40261	0.09933	14.12	<0.0001***	0.22064	0.01115	19.79	<0.0001***
0.9	EPU	0.00252	0.00079	3.205	0.0014***	0.00044	9.17e-5	4.807	<0.0001***
0.95	(Intercept)	1.65342	0.25442	6.499	<0.0001***	0.26542	0.01319	20.12	<0.0001***
0.95	EPU	0.01078	0.00201	5.362	<0.0001***	0.00052	0.00011	4.824	<0.0001***
0.99	(Intercept)	5.10445	1.74611	2.923	0.0035***	0.43367	0.04388	9.883	<0.0001***
0.99	EPU	0.01770	0.01380	1.283	0.1998	0.00074	0.00036	2.043	0.0412**

$τ$	Coefficient	$V_{2,Bit}$				$V_{2,Gold}$
$τ$	Coefficient	Value	Standard error	t value	Pr (>\| t \|)	Value	Standard error	t value	Pr (>\| t \|)
0.01	(Intercept)	1.57e-10	6.46e-11	2.428	0.0153**	0.02394	0.00279	8.568	<0.0001***
0.01	EPU	−1.42e-12	5.11e-13	−2.778	0.0055***	−6.37e-5	2.29e-5	−2.772	0.0056***
0.05	(Intercept)	0.17211	0.01068	16.11	<0.0001***	0.06521	0.00384	16.98	<0.0001***
0.05	EPU	−0.00101	8.44e-5	−11.91	<0.0001***	−5.53e-5	3.16e-5	−1.752	0.0798*
0.1	(Intercept)	0.21691	0.00894	24.28	<0.0001***	0.07684	0.00265	29.04	<0.0001***
0.1	EPU	−0.00092	7.06e-5	−13.03	<0.0001***	−2.12e-5	2.177e-5	−0.9735	0.3304
0.25	(Intercept)	0.28930	0.01266	22.85	<0.0001***	0.09792	0.00277	35.33	<0.0001***
0.25	EPU	−0.00032	0.00010	−3.156	0.0016***	9.60e-6	2.28e-5	0.4213	0.6736
0.75	(Intercept)	0.80611	0.05008	16.10	<0.0001***	0.17028	0.00535	31.85	<0.0001***
0.75	EPU	0.00140	0.00040	3.527	0.0004***	0.00019	4.39e-5	4.402	<0.0001***
0.9	(Intercept)	1.40261	0.09933	14.12	<0.0001***	0.22064	0.01115	19.79	<0.0001***
0.9	EPU	0.00252	0.00079	3.205	0.0014***	0.00044	9.17e-5	4.807	<0.0001***
0.95	(Intercept)	1.65342	0.25442	6.499	<0.0001***	0.26542	0.01319	20.12	<0.0001***
0.95	EPU	0.01078	0.00201	5.362	<0.0001***	0.00052	0.00011	4.824	<0.0001***
0.99	(Intercept)	5.10445	1.74611	2.923	0.0035***	0.43367	0.04388	9.883	<0.0001***
0.99	EPU	0.01770	0.01380	1.283	0.1998	0.00074	0.00036	2.043	0.0412**

Note(s): ***, ** and * indicates the significance at 1%, 5% and 10% levels, respectively