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Financial Innovation

Table 6 Estimation results of the 1% CAViaRs with explanatory variables adopting symmetric absolute value 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

RQ

Hits

DQ

Beta

RQ

Hits

DQ

BIT TRD

1.254

(0.198)

516.262

0.937

0.105

\(-\)0.010

(0.336)

686.350

0.988

0.491

OIL

\(-\)0.218

(0.064)

518.122

0.980

0.169

\(-\)0.036

(0.459)

686.375

0.988

0.495

GAS

0.386

(0.081)

514.755

0.937

\(0.001^{**}\)

0.504

(0.000)

675.484

0.988

\(0.037^{*}\)

COMMO

\(-\)0.011

(0.462)

519.193

1.022

0.220

0.011

(0.471)

686.404

0.988

0.489

GOLD CASH

0.117

(0.328)

518.797

1.022

0.191

0.184

(0.239)

684.015

0.959

0.492

GOLD FUTURE

\(-\)0.052

(0.336)

519.043

0.980

0.187

\(-\)0.064

(0.404)

686.298

0.988

0.496

SILVER

0.304

(0.311)

515.786

1.022

0.175

0.675

(0.010)

674.397

0.930

0.349

USCPI

0.031

(0.328)

517.914

0.980

0.159

0.791

(0.041)

690.345

0.988

\(0.041^{*}\)

EFFR

0.303

(0.143)

517.697

0.980

0.173

\(-\)0.007

(0.459)

686.419

0.988

0.491

ECB DFR

0.403

(0.008)

506.703

0.980

\(0.002^{**}\)

0.275

(0.066)

674.680

0.988

\(0.041^{*}\)

USCOR BND

0.873

(0.064)

506.187

0.980

0.289

0.752

(0.047)

668.576

1.047

0.668

PIMCO BND

0.778

(0.001)

502.295

0.980

0.210

0.800

(0.000)

669.635

0.959

0.423

STRESS

0.098

(0.325)

517.044

0.980

0.181

0.075

(0.353)

686.043

1.017

0.172

EUR/USD

0.444

(0.179)

514.748

1.022

\(0.019^{*}\)

0.840

(0.023)

666.964

1.017

\(0.025^{*}\)

GBP/USD

\(-\)0.130

(0.326)

519.059

0.980

0.223

0.072

(0.378)

686.068

0.988

0.506

CNY/USD

0.110

(0.286)

519.112

1.022

0.200

0.062

(0.299)

685.930

0.988

0.521

NYSE

0.541

(0.249)

509.090

0.980

0.218

0.573

(0.098)

672.554

0.959

0.440

SP 500

0.640

(0.174)

510.012

0.980

0.220

0.507

(0.046)

675.625

1.017

0.535

NASDAQ

0.592

(0.035)

510.318

1.022

0.177

0.401

(0.180)

678.296

0.959

0.430

FTSE 100

0.181

(0.224)

516.947

1.022

0.200

0.167

(0.241)

684.036

0.988

0.524

NIKKEI

0.016

(0.431)

519.299

0.980

0.176

0.663

(0.080)

688.391

1.017

0.524

SHANGHAI

0.026

(0.406)

518.840

0.980

0.168

0.040

(0.360)

685.654

0.988

0.494

MSCI

0.592

(0.264)

508.863

0.937

0.150

0.660

(0.106)

672.781

0.959

0.395

HEDGE

0.345

(0.145)

515.716

0.980

\(0.002^{**}\)

0.248

(0.153)

683.254

0.959

0.398

UNCER WRD

0.100

(0.281)

517.688

0.980

0.120

0.078

(0.169)

684.398

1.017

0.575

UNCER US

0.271

(0.068)

511.079

0.980

\(0.002^{**}\)

0.328

(0.000)

670.986

1.017

0.064

UNCER UK

\(-\)0.061

(0.004)

518.302

1.022

0.229

0.069

(0.267)

685.608

0.959

0.442

CONSUME

2.497

(0.019)

502.906

1.022

\(0.012^{*}\)

1.343

(0.008)

675.500

0.959

0.144

GOOGLE

0.014

(0.454)

519.238

0.980

0.201

0.478

(0.184)

695.833

0.959

0.061

WIKI

0.133

(0.416)

519.156

0.980

0.206

\(-\)0.049

(0.204)

686.406

0.959

0.444

  1. The table reports the estimation results for the 1% CAViaRs of Bitcoin returns with explanatory variables adopting a symmetric absolute value specification. The values of the estimated parameters (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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