Fig. 2
From: Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic
a Investor sentiment (blue line) versus Bitcoin price (red line). Notes: Blue line depicts 30 days moving average Investor sentiment on the right axis. Red line depicts Bitcoin price data in logarithmic scale on the left axis. Observation period is from 1st January 2016 to 30th June 2021. b Time varying volatility between Bitcoin returns and TRMI Bitcoin sentiment index. Notes: Results are estimated by a dynamic conditional correlation model of DCC(1,1) model specification. Mean model (ARIMA) and volatility model (GARCH) specification of Bitcoin return and TRMI sentiment are ARIMA(0,1,0) x SGARCH(1,1) and ARIMA(1,1,1) x AVGARCH(1,1), respectively. Both mean and volatility model parameter estimations’ results and their estimation diagnostics are available upon request. Data spans from 1st January 206 to 30th June 2021