From: The predictive power of Bitcoin prices for the realized volatility of US stock sector returns
Sector stock | Model | Returns | Volatility | CER | SR | Returns | Volatility | CER | SR |
---|---|---|---|---|---|---|---|---|---|
\(\varvec{Gamma} = {\mathbf{3}}\;\varvec{and}\;\varvec{Theta} = {\mathbf{6}}\) | \(\varvec{Gamma} = {\mathbf{3}}\;\varvec{and}\;\varvec{Theta} = {\mathbf{8}}\) | ||||||||
Composite | HA | 0.2527 | 1.89E−05 | 0.2527 | 51.8445 | 0.3171 | 3.35E−05 | 0.3171 | 50.0171 |
 | WN | 0.2537 | 1.85E−05 | 0.2537 | 52.6391 | 0.3185 | 3.28E−05 | 0.3185 | 50.7792 |
Consumer discretionary | HA | 0.2299 | 2.88E−05 | 0.2299 | 37.7162 | 0.2879 | 5.12E−05 | 0.2879 | 36.3875 |
 | WN | 0.2346 | 2.94E−05 | 0.2346 | 38.2143 | 0.2938 | 5.22E−05 | 0.2938 | 36.8585 |
Consumer staples | HA | 0.1150 | 9.44E−07 | 0.1150 | 90.0166 | 0.1401 | 1.68E−06 | 0.1401 | 86.8932 |
 | WN | 0.1619 | 4.24E−06 | 0.1619 | 65.2402 | 0.2002 | 7.54E−06 | 0.2002 | 62.9133 |
Energy | HA | 0.1053 | 1.73E−05 | 0.1053 | 18.6993 | 0.1276 | 3.07E−05 | 0.1276 | 18.0533 |
 | WN | 0.1020 | 1.66E−05 | 0.1020 | 18.2954 | 0.1234 | 2.94E−05 | 0.1234 | 17.6695 |
Financials | HA | 0.1856 | 1.55E−05 | 0.1856 | 40.1856 | 0.2309 | 2.75E−05 | 0.2309 | 38.7731 |
 | WN | 0.1913 | 1.61E−05 | 0.1913 | 40.8373 | 0.2382 | 2.86E−05 | 0.2382 | 39.3970 |
Health Care | HA | 0.2108 | 4.06E−06 | 0.2108 | 90.9209 | 0.2633 | 7.23E−06 | 0.2633 | 87.7234 |
 | WN | 0.2061 | 4.06E−06 | 0.2061 | 88.6021 | 0.2573 | 7.22E−06 | 0.2573 | 85.4844 |
Industrials | HA | 0.2554 | 1.08E−05 | 0.2554 | 69.3924 | 0.3206 | 1.92E−05 | 0.3206 | 66.9491 |
 | WN | 0.2635 | 1.10E−05 | 0.2635 | 71.1749 | 0.3309 | 1.95E−05 | 0.3309 | 68.6510 |
Information Technology | HA | 0.0907 | 4.49E−05 | 0.0907 | 9.4319 | 0.1089 | 7.98E−05 | 0.1089 | 9.1118 |
 | WN | 0.0897 | 4.49E−05 | 0.0897 | 9.2772 | 0.1076 | 7.98E−05 | 0.1076 | 8.9623 |
Materials | HA | 0.1730 | 1.15E−05 | 0.1730 | 42.8836 | 0.2147 | 2.05E−05 | 0.2147 | 41.3808 |
 | WN | 0.2146 | 1.97E−05 | 0.2146 | 42.1344 | 0.2681 | 3.51E−05 | 0.2681 | 40.6387 |
Real Estate | HA | 0.1176 | 1.39E−06 | 0.1176 | 76.5535 | 0.1435 | 2.46E−06 | 0.1435 | 73.9247 |
 | WN | 0.1542 | 6.10E−06 | 0.1542 | 51.2772 | 0.1905 | 1.09E−05 | 0.1905 | 49.4629 |
Telecommunication Services | HA | 0.1960 | 1.10E−05 | 0.1960 | 50.8572 | 0.2443 | 1.95E−05 | 0.2443 | 49.0645 |
 | WN | 0.1958 | 1.11E−05 | 0.1958 | 50.5779 | 0.2440 | 1.97E−05 | 0.2440 | 48.7952 |
Utilities | HA | 0.2332 | 4.11E−06 | 0.2332 | 101.4970 | 0.2921 | 7.30E−06 | 0.2921 | 97.9237 |
 | WN | 0.2456 | 4.63E−06 | 0.2456 | 101.3130 | 0.3080 | 8.24E−06 | 0.3080 | 97.7250 |