From: Forecasting cryptocurrency returns and volume using search engines
Step | Impulse: VLM Response: VLM | Impulse: VLM Response: SGSV | Impulse: SGSV Response: VLM | Impulse: SGSV Response: SGSV | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 0.385018 | 0.245108 | 0.524927 | −0.000787 | −0.005101 | 0.003527 | 1.93557 | −2.60099 | 6.47212 | −0.243688 | −0.383577 | − 0.103798 |
2 | 0.267912 | 0.137158 | 0.398667 | −0.003683 | −0.007723 | 0.000356 | 2.45401 | −2.16335 | 7.07137 | −0.022255 | −0.162477 | 0.117967 |
3 | 0.140969 | 0.030192 | 0.251745 | −0.000626 | −0.001551 | 0.0003 | 0.604995 | −0.602375 | 1.81237 | 0.016101 | −0.055443 | 0.087645 |
4 | 0.077504 | −0.018434 | 0.173442 | −0.00062 | −0.001458 | 0.000217 | 0.512991 | −0.475151 | 1.50113 | −0.011383 | −0.030234 | 0.007469 |
5 | 0.044361 | −0.022964 | 0.111685 | −0.000363 | −0.000755 | 0.000029 | 0.283911 | −0.20506 | 0.772882 | −0.001081 | −0.008756 | 0.006594 |
6 | 0.024417 | −0.022542 | 0.071376 | −0.000174 | −0.000442 | 0.000095 | 0.144572 | −0.147791 | 0.436936 | −0.000881 | −0.006264 | 0.004503 |
7 | 0.013649 | −0.017589 | 0.044888 | −0.000106 | −0.000283 | 0.00007 | 0.086011 | −0.096901 | 0.268923 | −0.000827 | −0.002147 | 0.000493 |
8 | 0.00763 | −0.012556 | 0.027817 | −0.000058 | −0.000173 | 0.000057 | 0.047117 | −0.062703 | 0.156938 | −0.000312 | −0.001039 | 0.000414 |
9 | 0.004248 | −0.008607 | 0.017103 | −0.000032 | −0.000108 | 0.000043 | 0.026158 | −0.042693 | 0.09501 | −0.000202 | −0.00073 | 0.000326 |
10 | 0.002371 | −0.005671 | 0.010413 | −0.000018 | −0.000066 | 0.00003 | 0.01471 | −0.027655 | 0.057076 | −0.000115 | −0.000374 | 0.000144 |
11 | 0.001323 | −0.003653 | 0.006299 | −0.00001 | −0.00004 | 0.00002 | 0.008172 | −0.017942 | 0.034285 | −0.000061 | −0.000229 | 0.000107 |
12 | 0.000738 | −0.002312 | 0.003787 | −5.60E-06 | −0.000024 | 0.000013 | 0.004561 | −0.011446 | 0.020569 | −0.000035 | −0.000137 | 0.000067 |