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Financial Innovation

Table 5 Estimation results of the 5% CAViaRs with explanatory variables adopting asymmetric slope specification

From: On the factors of Bitcoin’s value at risk

Variables

From August 1, 2010 to January 3, 2017

From August 1, 2010 to December 31, 2019

Beta (+)

Beta (−)

RQ

Hits

DQ

Beta (+)

Beta (−)

RQ

Hits

DQ

BIT TRD

\(-\)1.965

(0.371)

4.199

(0.148)

1538.771

4.983

0.949

\(-\)0.063

(0.002)

0.348

(0.313)

2068.363

5.000

0.980

OIL

\(-\)0.216

(0.120)

\(-\)0.291

(0.174)

1541.161

5.026

0.989

\(-\)0.255

(0.024)

\(-\)0.184

(0.229)

2069.235

5.029

0.987

GAS

\(-\)0.115

(0.336)

\(-\)0.083

(0.406)

1543.858

5.026

0.948

0.312

(0.197)

0.108

(0.269)

2068.465

5.000

0.922

COMMO

\(-\)0.217

(0.001)

0.455

(0.212)

1541.432

4.983

0.938

\(-\)0.176

(0.000)

0.378

(0.212)

2067.544

5.000

0.985

GOLD CASH

\(-\)0.065

(0.439)

0.167

(0.266)

1543.057

4.898

0.936

\(-\)0.017

(0.473)

\(-\)0.006

(0.486)

2070.772

4.971

0.946

GOLD FUTURE

\(-\)0.033

(0.399)

0.231

(0.428)

1543.820

5.026

0.996

\(-\)0.096

(0.000)

7.183

(0.000)

2064.469

5.000

0.954

SILVER

0.051

(0.448)

\(-\)0.038

(0.459)

1543.770

4.983

0.996

0.272

(0.314)

\(-\)0.172

(0.222)

2069.028

5.058

0.887

USCPI

0.293

(0.146)

\(-\)0.102

(0.162)

1536.595

4.983

0.993

0.180

(0.205)

\(-\)0.105

(0.052)

2064.773

5.000

0.915

EFFR

\(-\)11.588

(0.183)

1.083

(0.081)

1537.914

5.026

0.958

0.004

(0.487)

0.139

(0.329)

2070.097

5.000

0.984

ECB DFR

0.512

(0.026)

\(-\)0.029

(0.458)

1529.459

5.026

0.986

0.412

(0.074)

0.086

(0.324)

2058.703

5.000

0.989

USCOR BND

\(-\)0.229

(0.323)

0.310

(0.297)

1541.567

5.068

0.994

\(-\)0.223

(0.179)

0.293

(0.166)

2067.776

5.000

0.928

PIMCO BND

0.304

(0.220)

0.848

(0.039)

1534.122

4.983

0.921

0.192

(0.281)

0.648

(0.189)

2060.767

5.029

0.734

STRESS

0.276

(0.181)

0.102

(0.330)

1539.646

4.983

0.961

0.299

(0.283)

0.120

(0.292)

2066.222

4.942

0.949

EUR/USD

\(-\)0.014

(0.478)

\(-\)0.370

(0.001)

1541.572

5.026

0.944

0.019

(0.463)

\(-\)0.292

(0.113)

2068.332

5.000

0.873

GBP/USD

\(-\)0.240

(0.232)

0.006

(0.491)

1542.940

4.983

0.991

\(-\)0.203

(0.227)

\(-\)0.033

(0.432)

2069.746

5.000

0.965

CNY/USD

0.003

(0.495)

\(-\)0.205

(0.002)

1542.898

5.026

0.985

0.241

(0.145)

\(-\)0.108

(0.164)

2067.652

5.029

0.876

NYSE

0.210

(0.238)

0.283

(0.329)

1542.839

4.940

0.944

0.055

(0.438)

0.150

(0.273)

2069.511

5.000

0.971

SP 500

0.207

(0.369)

0.260

(0.365)

1543.069

4.940

0.951

\(-\)0.115

(0.303)

0.150

(0.194)

2068.973

5.029

0.891

NASDAQ

0.051

(0.444)

0.137

(0.408)

1543.689

4.983

0.983

\(-\)0.099

(0.299)

0.148

(0.241)

2069.478

4.971

0.949

FTSE 100

0.309

(0.126)

0.035

(0.465)

1541.056

4.983

1.000

0.189

(0.224)

\(-\)0.149

(0.329)

2069.523

5.000

0.902

NIKKEI

0.455

(0.077)

0.552

(0.111)

1537.358

4.983

0.996

0.213

(0.249)

0.319

(0.084)

2068.638

5.000

0.991

SHANGHAI

\(-\)0.333

(0.044)

\(-\)0.168

(0.170)

1539.670

4.940

0.946

\(-\)0.307

(0.015)

\(-\)0.184

(0.051)

2064.549

5.000

0.985

MSCI

0.222

(0.240)

0.231

(0.310)

1542.700

4.983

0.988

0.087

(0.410)

0.171

(0.226)

2069.563

4.971

0.796

HEDGE

\(-\)0.007

(0.489)

0.322

(0.195)

1541.908

4.983

0.995

0.080

(0.395)

0.249

(0.164)

2067.819

4.971

0.933

UNCER WRD

0.015

(0.444)

0.335

(0.095)

1539.057

5.026

0.903

\(-\)0.021

(0.394)

0.209

(0.082)

2066.658

5.000

0.946

UNCER US

\(-\)0.259

(0.102)

\(-\)0.769

(0.085)

1540.114

5.026

0.985

\(-\)0.119

(0.061)

\(-\)0.226

(0.188)

2069.052

5.000

0.991

UNCER UK

\(-\)0.044

(0.246)

0.281

(0.200)

1539.455

4.940

0.963

\(-\)0.021

(0.361)

0.137

(0.142)

2067.554

5.000

0.990

CONSUME

\(-\)0.050

(0.440)

0.517

(0.232)

1536.090

4.898

0.998

0.267

(0.226)

0.494

(0.184)

2062.636

5.000

0.970

GOOGLE

0.377

(0.317)

0.232

(0.360)

1541.789

5.068

0.955

0.117

(0.189)

0.078

(0.338)

2069.444

4.971

0.530

WIKI

1.040

(0.023)

\(-\)0.039

(0.483)

1543.184

4.983

0.961

0.045

(0.256)

\(-\)0.205

(0.309)

2069.178

5.029

0.721

  1. The table reports the estimation results for the 5% CAViaRs of Bitcoin returns with explanatory variables adopting an asymmetric slope specification. The values of the estimated parameters (Beta (+) and Beta (−)), the corresponding (one-sided) p values (in parentheses), the values of the regression quantile objective functions (RQ), the percentage of times the VaR is exceeded (Hits), and the p value of the dynamic quantile test (DQ) are reported. All explanatory variables are standardized. The coefficients of explanatory variables that are significant to at least the 5% level are in bold. One and two stars denote the statistical significance of the DQ at the 5 or 1% level, respectively. Two sample periods are considered: August 1, 2010– January 3, 2017 and August 1, 2010–December 31, 2019
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