Table 4 Descriptive statistics for...

Table 4

Descriptive statistics for dynamic conditional correlation between Bitcoin and energy commodities with Fed surprises

DCC between bitcoin and
	Crude oil WTI	Brent oil	Gasoline RBOB	Heating oil	London gas_oil	Natural gas
Mean	−0.100685	0.045457	−0.195268	−0.066855	0.058979	−0.087350
Median	−0.158640	0.106953	−0.317919	−0.078081	0.107820	−0.169743
Maximum	0.974319	0.936571	0.938638	0.936129	0.954841	0.970986
Minimum	−0.968756	−0.903448	−0.956786	−0.948544	−0.944242	−0.968992
Std. Dev	0.556703	0.544687	0.523276	0.544002	0.564032	0.561505
Skewness	0.214416	−0.149130	0.503781	0.160189	−0.133205	0.199015
Kurtosis	1.843179	1.672112	2.039778	1.881602	1.768415	1.731673
Jarque–Bera	61.13896*	74.39849*	77.81108*	54.36380*	63.77566*	70.97769*
Probability	0.000000	0.000000	0.000000	0.000000	0.000000	0.000000
Obs	964	964	964	964	964	964

DCC between bitcoin and
	Crude oil WTI	Brent oil	Gasoline RBOB	Heating oil	London gas_oil	Natural gas
Mean	−0.100685	0.045457	−0.195268	−0.066855	0.058979	−0.087350
Median	−0.158640	0.106953	−0.317919	−0.078081	0.107820	−0.169743
Maximum	0.974319	0.936571	0.938638	0.936129	0.954841	0.970986
Minimum	−0.968756	−0.903448	−0.956786	−0.948544	−0.944242	−0.968992
Std. Dev	0.556703	0.544687	0.523276	0.544002	0.564032	0.561505
Skewness	0.214416	−0.149130	0.503781	0.160189	−0.133205	0.199015
Kurtosis	1.843179	1.672112	2.039778	1.881602	1.768415	1.731673
Jarque–Bera	61.13896*	74.39849*	77.81108*	54.36380*	63.77566*	70.97769*
Probability	0.000000	0.000000	0.000000	0.000000	0.000000	0.000000
Obs	964	964	964	964	964	964

Note(s): This table presents summary statistics of DCC between Bitcoin and energy commodities, namely Crude Oil WTI (West Texas Intermediate), Brent Oil, Gasoline RBOB (Reformulated Gasoline Blendstock for Oxygen Blending), Heating Oil, London Gas Oil and Natural Gas in the presence of Fed surprises. The data period is from August 11, 2015 until March 31, 2018. Statistical significance at the 1% is denoted by *

[ViewLarge]

Sharing Unavailable