Table 7 Economic significance (80:20 Data Split with 20-day annualized realized volatility)
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 | − 1.6221 | 3.97E+01 | − 1.6233 | − 0.2633 | − 2.1671 | 7.06E+01 | − 2.1683 | − 0.2624 |
|  | WN | − 0.9601 | 3.00E+01 | − 0.9612 | − 0.1820 | − 1.2704 | 5.26E+01 | − 1.2716 | − 0.1803 |
Consumer Discretionary | HA | − 1.3803 | 8.61E+01 | − 1.3831 | − 0.1528 | − 1.8357 | 1.52E+02 | − 1.8386 | − 0.1517 |
|  | WN | − 1.2221 | 8.67E+01 | − 1.2251 | − 0.1353 | − 1.6256 | 1.53E+02 | − 1.6286 | − 0.1342 |
Consumer Staples | HA | − 0.6852 | 1.11E+01 | − 0.6859 | − 0.2164 | − 0.9199 | 1.98E+01 | − 0.9206 | − 0.2154 |
|  | WN | − 1.9433 | 3.00E+01 | − 1.9442 | − 0.3616 | − 2.6162 | 5.33E+01 | − 2.6172 | − 0.3635 |
Energy | HA | 0.1294 | 7.66E+00 | 0.1266 | 0.0333 | 0.1830 | 1.26E+01 | 0.1802 | 0.0410 |
|  | WN | − 1.1441 | 5.24E+01 | − 1.1470 | − 0.1632 | − 1.5271 | 9.29E+01 | − 1.5299 | − 0.1623 |
Financials | HA | − 0.2931 | 4.07E+01 | − 0.2948 | − 0.0518 | − 0.3833 | 7.11E+01 | − 0.3850 | − 0.0499 |
|  | WN | − 0.4288 | 3.23E+01 | − 0.4305 | − 0.0821 | − 0.5669 | 5.65E+01 | − 0.5686 | − 0.0804 |
Health Care | HA | − 1.1077 | 8.78E+00 | − 1.1081 | − 0.3865 | − 1.4868 | 1.57E+01 | − 1.4872 | − 0.3852 |
| Â | WN | 0.3674 | 3.43E+00 | 0.3666 | 0.1781 | 0.4776 | 6.10E+00 | 0.4768 | 0.1782 |
Industrials | HA | − 2.0448 | 5.71E+01 | − 2.0467 | − 0.2755 | − 2.7280 | 1.02E+02 | − 2.7298 | − 0.2744 |
|  | WN | − 0.5362 | 2.83E+01 | − 0.5380 | − 0.1078 | − 0.7163 | 5.02E+01 | − 0.7181 | − 0.1064 |
Information Technology | HA | − 1.3994 | 1.08E+02 | − 1.4015 | − 0.1381 | − 1.8720 | 1.92E+02 | − 1.8740 | − 0.1377 |
|  | WN | − 0.5430 | 8.78E+01 | − 0.5451 | − 0.0619 | − 0.7297 | 1.56E+02 | − 0.7318 | − 0.0615 |
Materials | HA | − 1.1526 | 2.21E+01 | − 1.1533 | − 0.2530 | − 1.5410 | 3.93E+01 | − 1.5417 | − 0.2518 |
| Â | WN | 0.4039 | 3.98E+00 | 0.4031 | 0.1837 | 0.5424 | 6.96E+00 | 0.5417 | 0.1914 |
Real Estate | HA | − 1.4401 | 2.09E+01 | − 1.4407 | − 0.3234 | − 1.9296 | 3.71E+01 | − 1.9302 | − 0.3228 |
|  | WN | − 1.2866 | 2.17E+01 | − 1.2873 | − 0.2841 | − 1.7162 | 3.85E+01 | − 1.7169 | − 0.2825 |
Telecommunication Services | HA | − 1.8706 | 4.44E+01 | − 1.8721 | − 0.2864 | − 2.4926 | 7.87E+01 | − 2.4941 | − 0.2851 |
| Â | WN | 0.6459 | 1.97E+01 | 0.6441 | 0.1370 | 0.8455 | 3.58E+01 | 0.8437 | 0.1351 |
Utilities | HA | − 0.7391 | 3.44E+01 | − 0.7405 | − 0.1324 | − 0.9799 | 6.07E+01 | − 0.9813 | − 0.1306 |
|  | WN | − 0.5224 | 2.62E+01 | − 0.5236 | − 0.1093 | − 0.6884 | 4.59E+01 | − 0.6897 | − 0.1071 |