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Financial Innovation

Table 7 Estimation results of the 1% 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

0.670

(0.478)

3.363

(0.092)

497.537

1.022

\(0.011^{*}\)

0.330

(0.208)

6.946

(0.021)

662.770

0.988

0.746

OIL

\(-\)0.399

(0.001)

0.092

(0.388)

494.777

1.022

0.294

\(-\)0.915

(0.000)

\(-\)0.490

(0.189)

670.377

1.017

\(0.050^{*}\)

GAS

0.429

(0.106)

0.422

(0.004)

493.568

0.980

0.230

0.928

(0.042)

0.258

(0.393)

662.721

0.988

0.174

COMMO

0.021

(0.472)

\(-\)0.111

(0.361)

499.470

1.022

0.276

\(-\)0.145

(0.409)

\(-\)0.447

(0.320)

672.084

1.017

0.051

GOLD CASH

0.171

(0.351)

\(-\)0.706

(0.003)

493.899

0.937

0.191

1.054

(0.126)

\(-\)0.114

(0.381)

672.145

0.988

0.419

GOLD FUTURE

0.049

(0.418)

\(-\)0.543

(0.329)

498.914

1.022

0.274

\(-\)0.187

(0.000)

5.146

(0.177)

670.485

1.017

0.623

SILVER

0.930

(0.234)

\(-\)0.505

(0.176)

493.267

1.022

0.316

1.442

(0.000)

\(-\)0.241

(0.218)

657.354

0.988

0.447

USCPI

0.092

(0.268)

\(-\)0.019

(0.373)

498.062

1.022

0.464

0.195

(0.264)

\(-\)0.043

(0.473)

670.213

0.959

0.561

EFFR

\(-\)20.425

(0.090)

\(-\)0.141

(0.368)

499.161

1.022

0.140

0.311

(0.267)

1.320

(0.138)

670.071

0.959

0.637

ECB DFR

0.299

(0.051)

0.154

(0.263)

490.234

1.022

0.362

1.180

(0.000)

\(-\)0.271

(0.362)

651.040

0.988

0.648

USCOR BND

0.707

(0.144)

1.100

(0.036)

490.983

0.980

0.422

0.778

(0.009)

1.165

(0.003)

657.581

0.988

0.700

PIMCO BND

0.797

(0.063)

0.696

(0.106)

489.971

0.980

\(0.000^{**}\)

0.686

(0.082)

1.015

(0.002)

659.146

1.017

0.059

STRESS

0.138

(0.185)

\(-\)0.232

(0.055)

490.986

0.937

0.321

0.870

(0.001)

\(-\)0.651

(0.022)

652.670

1.017

0.645

EUR/USD

0.871

(0.027)

0.493

(0.292)

488.243

1.022

0.372

0.928

(0.017)

1.363

(0.012)

649.756

0.959

0.469

GBP/USD

0.142

(0.405)

0.170

(0.384)

499.001

1.022

0.125

\(-\)0.922

(0.042)

\(-\)0.209

(0.401)

671.945

1.017

0.062

CNY/USD

0.143

(0.296)

\(-\)0.067

(0.354)

499.562

0.937

0.194

0.356

(0.319)

0.207

(0.332)

671.678

0.959

0.623

NYSE

0.167

(0.422)

0.670

(0.054)

494.524

0.980

0.277

0.540

(0.291)

0.806

(0.002)

664.562

0.988

0.629

SP 500

0.282

(0.392)

0.694

(0.033)

495.000

0.980

\(0.009^{**}\)

0.066

(0.475)

0.703

(0.014)

665.988

0.959

0.589

NASDAQ

\(-\)0.218

(0.252)

0.264

(0.237)

497.568

1.065

0.186

0.031

(0.491)

0.713

(0.006)

669.407

1.017

\(0.034^{*}\)

FTSE 100

\(-\)0.237

(0.232)

0.125

(0.327)

496.891

0.937

0.204

\(-\)0.417

(0.206)

0.453

(0.148)

670.555

0.988

0.600

NIKKEI

\(-\)0.301

(0.284)

0.407

(0.031)

498.444

0.980

0.330

0.164

(0.433)

0.416

(0.213)

667.929

1.047

0.757

SHANGHAI

\(-\)0.129

(0.256)

0.159

(0.353)

498.753

1.022

0.353

\(-\)0.587

(0.229)

0.054

(0.480)

670.824

0.988

0.610

MSCI

0.478

(0.169)

0.486

(0.205)

495.901

0.937

0.258

0.465

(0.304)

0.763

(0.002)

666.945

0.988

0.635

HEDGE

\(-\)0.323

(0.234)

0.103

(0.426)

496.747

0.980

0.315

\(-\)0.256

(0.264)

0.560

(0.256)

668.393

1.017

0.453

UNCER WRD

\(-\)0.011

(0.475)

0.081

(0.403)

500.850

0.980

\(0.010^{**}\)

0.184

(0.084)

0.337

(0.082)

669.719

1.047

0.691

UNCER US

0.206

(0.087)

\(-\)0.565

(0.067)

489.176

0.980

0.530

0.480

(0.001)

\(-\)1.574

(0.000)

650.095

0.988

0.635

UNCER UK

\(-\)0.081

(0.000)

\(-\)0.266

(0.041)

498.451

0.980

\(0.005^{**}\)

\(-\)0.242

(0.099)

0.350

(0.324)

670.543

0.988

0.576

CONSUME

1.057

(0.099)

1.929

(0.000)

482.740

1.022

0.596

1.043

(0.017)

2.013

(0.000)

639.670

0.988

0.930

GOOGLE

0.082

(0.413)

0.117

(0.262)

500.015

0.980

0.399

\(-\)0.012

(0.487)

0.282

(0.312)

670.974

1.017

0.131

WIKI

0.076

(0.225)

0.995

(0.071)

492.293

1.022

\(0.016^{*}\)

0.242

(0.383)

1.983

(0.132)

669.051

0.959

0.797

  1. The table reports the estimation results for the 1% 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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