Table 3 Estimates and relevant statistics for the 5% and 1% CAViaRs of Bitcoin’s returns
5% VaR | 1% VaR | |||
|---|---|---|---|---|
Symmetric absolute value | Asymmetric slope | Symmetric absolute value | Asymmetric slope | |
\(\beta _{1}\) | 0.359 | 0.527 | 0.169 | 1.837 |
Standard errors | 0.174 | 0.143 | 0.102 | 0.722 |
p values | 0.020 | 0.000 | 0.048 | 0.005 |
\(\beta _{2}\) | 0.795 | 0.715 | 0.941 | 0.719 |
Standard errors | 0.036 | 0.037 | 0.010 | 0.077 |
p values | 0.000 | 0.000 | 0.000 | 0.000 |
\(\beta _{3}\) | 0.327 | 0.294 | 0.197 | 0.445 |
Standard errors | 0.087 | 0.045 | 0.023 | 0.147 |
p values | 0.000 | 0.000 | 0.000 | 0.001 |
\(\beta _{4}\) | 0.658 | 0.835 | ||
Standard errors | 0.075 | 0.152 | ||
p values | 0.000 | 0.000 | ||
RQ | 2110.147 | 2070.816 | 686.464 | 672.943 |
Hits (%) | 5.000 | 5.000 | 0.988 | 0.988 |
DQ p values | 0.249 | 0.986 | 0.489 | 0.577 |