Table 6 Estimation results of dynamic...

Table 6

Estimation results of dynamic conditional correlation GARCH (1,1) between Bitcoin and energy commodities

Parameters	ω_i	α_i	β_i	$Fed surprises$	$ECB surprises$
Crude oil wti	0.0429856 (2.33)**	0.1150879 (7.88)*	0.8733594 (51.75)*	−0.0154627 (−4.09)*
Crude oil wti	0.0628791 (2.41)**	0.1435628 (7.09)*	0.8500179 (48.49)*		−0.0196583 (−4.57)*
Brent oil	0.0583357 (2.51)**	0.1055647 (7.37)*	0.8722564 (47.01)*	−0.0056482 (−4.51)*
Brent oil	0.0495135 (2.23)**	0.1395173 (7.19)*	0.8537910 (41.38)*		−0.0488792 (−4.96)*
Gasoline RBOB	0.0585297 (2.38)**	0.1369820 (7.28)*	0.8600179 (40.15)*	−0.0115703 (−4.37)*
Gasoline RBOB	0.0687532 (2.53)**	0.0822564 (7.46)*	0.9066973 (42.60)*		−0.0188527 (−4.79)*
Heating oil	0.052486 (1.89)***	0.052257 (7.57)*	0.925558 (87.61)*	−0.0097802 (−4.82)*
Heating oil	0.0591375 (1.94)***	0.1385279 (7.53)*	0.8596632 (79.90)*		−0.0802546 (−4.31)*
London gas oil	0.0856734 (3.22)*	0.1255687 (7.95)*	0.8702980 (61.73)*	−0.0534862 (−5.66)*
London gas oil	0.0500684 (3.94)*	0.1069837 (7.35)*	0.8916693 (70.99)*		−0.0637925 (−4.39)*
Natural gas	0.0480679 (2.27)**	0.1385698 (7.75)*	0.8506201 (39.36)*	−0.0180978 (−4.17)*
Natural gas	0.0730705 (2.36)**	0.1373491 (7.07)*	0.8590758 (59.16)*		−0.0376008 (−4.10)*

Parameters	ω_i	α_i	β_i	$Fed surprises$	$ECB surprises$
Crude oil wti	0.0429856 (2.33)**	0.1150879 (7.88)*	0.8733594 (51.75)*	−0.0154627 (−4.09)*
Crude oil wti	0.0628791 (2.41)**	0.1435628 (7.09)*	0.8500179 (48.49)*		−0.0196583 (−4.57)*
Brent oil	0.0583357 (2.51)**	0.1055647 (7.37)*	0.8722564 (47.01)*	−0.0056482 (−4.51)*
Brent oil	0.0495135 (2.23)**	0.1395173 (7.19)*	0.8537910 (41.38)*		−0.0488792 (−4.96)*
Gasoline RBOB	0.0585297 (2.38)**	0.1369820 (7.28)*	0.8600179 (40.15)*	−0.0115703 (−4.37)*
Gasoline RBOB	0.0687532 (2.53)**	0.0822564 (7.46)*	0.9066973 (42.60)*		−0.0188527 (−4.79)*
Heating oil	0.052486 (1.89)***	0.052257 (7.57)*	0.925558 (87.61)*	−0.0097802 (−4.82)*
Heating oil	0.0591375 (1.94)***	0.1385279 (7.53)*	0.8596632 (79.90)*		−0.0802546 (−4.31)*
London gas oil	0.0856734 (3.22)*	0.1255687 (7.95)*	0.8702980 (61.73)*	−0.0534862 (−5.66)*
London gas oil	0.0500684 (3.94)*	0.1069837 (7.35)*	0.8916693 (70.99)*		−0.0637925 (−4.39)*
Natural gas	0.0480679 (2.27)**	0.1385698 (7.75)*	0.8506201 (39.36)*	−0.0180978 (−4.17)*
Natural gas	0.0730705 (2.36)**	0.1373491 (7.07)*	0.8590758 (59.16)*		−0.0376008 (−4.10)*

Note(s): This table summarizes estimated coefficients from DCC-GARCH model. To empirically test this model, we employ daily volatility series of returns for 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 from August 11, 2015 through March 31, 2018. Statistical significance at the 1, 5 and 10% levels is denoted by *, ** and ***, respectively. Values in parentheses represent the t-Student

[ViewLarge]

Sharing Unavailable