Table 4 Estimation results of the 5% CAViaRs with explanatory variables adopting symmetric absolute value specification
From August 1, 2010 to January 3, 2017 | From August 1, 2010 to December 31, 2019 | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
Variables | Beta | RQ | Hits | DQ | Beta | RQ | Hits | DQ | ||
BIT TRD | 3.948 | (0.027) | 1567.712 | 4.983 | 0.577 | −0.057 | (0.000) | 2107.714 | 4.971 | 0.285 |
OIL | \(-\)0.272 | (0.016) | 1572.006 | 4.983 | 0.143 | −0.188 | (0.013) | 2105.785 | 5.000 | \(0.044^{*}\) |
GAS | 0.063 | (0.412) | 1576.575 | 5.026 | 0.039* | 0.308 | (0.084) | 2107.965 | 5.000 | \(0.023^{*}\) |
COMMO | \(-\)0.062 | (0.413) | 1576.712 | 4.983 | 0.067 | −0.173 | (0.000) | 2108.357 | 4.971 | 0.228 |
GOLD CASH | 0.039 | (0.455) | 1576.683 | 4.983 | 0.067 | 0.023 | (0.461) | 2110.118 | 5.000 | 0.262 |
GOLD FUTURE | \(-\)0.041 | (0.389) | 1576.730 | 4.940 | 0.020* | −0.086 | (0.000) | 2109.118 | 5.000 | 0.262 |
SILVER | 0.053 | (0.439) | 1576.581 | 4.983 | 0.180 | −0.037 | (0.317) | 2110.067 | 5.000 | 0.191 |
USCPI | \(-\)0.031 | (0.338) | 1576.499 | 5.026 | 0.112 | −0.047 | (0.220) | 2109.217 | 5.000 | 0.123 |
EFFR | 1.762 | (0.010) | 1562.922 | 4.940 | 0.845 | 0.032 | (0.375) | 2110.071 | 5.000 | 0.340 |
ECB DFR | 0.425 | (0.031) | 1567.808 | 5.026 | 0.035* | 0.439 | (0.007) | 2101.926 | 5.029 | 0.063 |
USCOR BND | 0.021 | (0.468) | 1576.788 | 5.026 | 0.011* | −0.006 | (0.479) | 2110.137 | 5.000 | 0.328 |
PIMCO BND | 0.443 | (0.079) | 1564.426 | 4.983 | 0.203 | 0.359 | (0.008) | 2100.639 | 4.971 | 0.548 |
STRESS | 0.237 | (0.156) | 1572.957 | 4.940 | 0.317 | 0.078 | (0.291) | 2109.265 | 5.000 | 0.130 |
EUR/USD | \(-\)0.246 | (0.028) | 1575.527 | 5.026 | 0.030* | −0.127 | (0.188) | 2108.595 | 5.029 | 0.105 |
GBP/USD | −0.128 | (0.164) | 1575.916 | 4.983 | 0.344 | −0.181 | (0.134) | 2108.944 | 5.000 | 0.315 |
CNY/USD | \(-\)0.097 | (0.275) | 1576.106 | 4.983 | 0.023* | 0.147 | (0.151) | 2108.108 | 5.000 | 0.056 |
NYSE | 0.316 | (0.331) | 1574.785 | 4.983 | 0.096 | 0.042 | (0.426) | 2110.040 | 4.971 | 0.239 |
SP 500 | 0.428 | (0.145) | 1574.069 | 4.983 | 0.095 | 0.095 | (0.353) | 2109.781 | 5.000 | 0.187 |
NASDAQ | 0.389 | (0.315) | 1574.131 | 5.026 | 0.177 | 0.076 | (0.367) | 2109.881 | 5.000 | 0.308 |
FTSE 100 | 0.369 | (0.046) | 1572.632 | 5.026 | 0.100 | 0.023 | (0.422) | 2110.092 | 5.000 | 0.312 |
NIKKEI | 0.547 | (0.037) | 1566.951 | 4.983 | 0.296 | 0.388 | (0.070) | 2107.628 | 5.029 | 0.402 |
SHANGHAI | −0.395 | (0.001) | 1569.658 | 4.940 | 0.034* | −0.379 | (0.000) | 2102.015 | 4.971 | 0.067 |
MSCI | 0.483 | (0.143) | 1572.601 | 4.983 | 0.078 | 0.267 | (0.251) | 2109.441 | 4.971 | 0.241 |
HEDGE | 0.328 | (0.169) | 1575.157 | 5.026 | 0.098 | 0.349 | (0.049) | 2106.333 | 5.029 | 0.149 |
UNCER WRD | 0.199 | (0.217) | 1574.090 | 5.026 | 0.460 | 0.050 | (0.258) | 2109.569 | 4.971 | 0.448 |
UNCER US | −0.018 | (0.447) | 1576.766 | 5.026 | 0.005** | −0.056 | (0.138) | 2109.861 | 4.971 | 0.122 |
UNCER UK | −0.085 | (0.266) | 1575.368 | 4.983 | 0.052 | −0.038 | (0.164) | 2109.979 | 4.971 | 0.230 |
CONSUME | 0.462 | (0.089) | 1570.049 | 4.983 | 0.284 | 0.446 | (0.115) | 2102.529 | 5.000 | 0.195 |
0.125 | (0.333) | 1576.098 | 4.983 | 0.105 | 0.059 | (0.352) | 2109.372 | 5.000 | 0.212 | |
WIKI | 0.459 | (0.208) | 1572.901 | 5.026 | 0.147 | 0.140 | (0.045) | 2106.927 | 5.029 | 0.126 |