Skip to main content
Financial Innovation

Table 6 Nonlinearity Brock-Dechert-Scheinkman (BDS) test

From: Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

Variables

Embedding Dimension = m

m = 2

m = 3

m = 4

m = 5

m = 6

BTC

0.007296

0.014082*

0.017278**

0.023407***

0.027509***

PI

0.108314***

0.178543***

0.220047***

0.240719***

0.257101***

HI

0.174347***

0.295623***

0.376935***

0.432012***

0.472148***

FNI

0.07069***

0.11507***

0.136611***

0.144885***

0.143907***

SI

0.168912***

0.280105***

0.349911***

0.393345***

0.417379***

II

0.163368***

0.281909***

0.360839***

0.415235***

0.45656***

MCI

0.164117***

0.27832***

0.355746***

0.411665***

0.451416***

CNC

0.163014***

0.283858***

0.370032***

0.429234***

0.472059***

CND

0.131594***

0.238702***

0.311789***

0.359086***

0.393218***

VIX

0.024614***

0.052417***

0.069922***

0.075609***

0.075304***

  1. Source Authors’ own computations. Notes: Superscripts *, **, ***represent the significance at 10%, 5%, and 1% levels, respectively. Variables’ description is provided in Table 4
Back to article page