Forecasting cryptocurrency returns and volume using search engines

Financial Innovation

Table 6 Impulse-Response Results, RETURN & SGSV

Step	Impulse: Return Response: Return			Impulse: Return Response: SGSV			Impulse: SGSV Response: Return			Impulse: SGSV Response: SGSV
Step	IRF	Lower	Upper	IRF	Lower	Upper	IRD	Lower	Upper	IRD	Lower	Upper
0	1	1	1	0	0	0	0	0	0	1	1	1
1	0.032957	−0.106325	0.172239	0.045402	0.021498	0.069305	0.71855	− 0.085965	1.52306	− 0.297884	− 0.435956	− 0.159812
2	0.184834	0.043908	0.325759	−0.000232	− 0.025583	0.02512	0.029703	−0.736896	0.796302	−0.040713	− 0.18197	0.100544
3	0.020897	−0.038813	0.080607	0.001491	−0.009288	0.01227	0.01476	−0.230351	0.259871	0.070231	−0.017134	0.157597
4	0.029642	−0.023107	0.082391	0.002722	−0.001925	0.00737	0.04648	−0.066875	0.159836	−0.013302	−0.040158	0.013554
5	0.006419	−0.00984	0.022679	0.00054	−0.001363	0.002442	0.00966	−0.024278	0.043598	−0.005136	−0.027236	0.016965
6	0.005678	−0.008125	0.019481	0.000039	−0.000892	0.000971	0.000725	−0.01556	0.017011	0.004673	−0.005723	0.015068
7	0.001304	−0.003363	0.005971	0.000234	−0.000219	0.000688	0.003711	−0.003969	0.011392	−0.000413	−0.003188	0.002363
8	0.001078	−0.002322	0.004478	0.00005	−0.000185	0.000286	0.000964	−0.004014	0.005941	−0.000457	−0.002889	0.001974
9	0.00032	−0.000943	0.001583	0.000011	−0.000115	0.000137	0.000173	−0.001887	0.002233	0.000291	−0.000624	0.001205
10	0.000193	−0.000625	0.00101	0.000016	−0.000034	0.000066	0.00026	−0.00064	0.001159	6.80E-06	−0.000285	0.000298