Diversification evidence of bitcoin and gold from wavelet analysis

Financial Innovation

Table 5 Estimated unconditional volatility matrix of Bitcoin and gold with six indices

	BITCOIN	GOLD	FTSE 100	FTSEINDO	FTSEMY	NIKKEI	NIFTY	S&P 500
BITCOIN	0.06058	0.00555	0.08800	0.01080	\(-\)0.00558	0.01241	0.05431	0.12787
GOLD	0.00555	0.00879	\(-\)0.03121	0.01748	\(-\)0.01790	\(-\)0.08364	\(-\)0.00113	0.02865
FTSE 100	0.08800	\(-\)0.03121	0.01022	0.24405	0.28753	0.33496	0.45910	0.54747
FTSEINDO	0.01080	0.01748	0.24405	0.01328	0.40190	0.23113	0.39637	0.19883
FTSEMY	\(-\)0.00558	\(-\)0.01790	0.28753	0.40190	0.00671	0.35842	0.38525	0.13719
NIKKEI	0.01241	\(-\)0.08364	0.33496	0.23113	0.35842	0.01242	0.34587	0.19902
NIFTY	0.05431	\(-\)0.00113	0.45910	0.39637	0.38525	0.34587	0.01055	0.31199
S&P 500	0.12787	0.02865	0.54747	0.19883	0.13719	0.19902	0.31199	0.01101

The diagonal elements correspond to the unconditional volatilities and the off-diagonal elements to the correlations