Relationship between Bitcoin Exchange Rate and Other Financial Indexes in Time Series

Table 4

Results of analysis by the VAR model.

		BTC	GOLD	JPY	SP500	SVI	USD	VIX
BTC (−2)	Coefficient	0.108278	−0.005290	−0.000852	−0.001416	−0.100983	−8.92E−05	−0.001668
	Standard deviation	0.02758	0.00859	0.00217	0.00294	0.04277	0.00089	0.02952
	t value	3.92650	−0.61583	−0.39197	−0.48229	−2.36124	−0.09973	−0.05650
GOLD (−2)	Coefficient	−0.089612	−0.064190	−0.005214	−0.013245	0.048425	0.005545	0.073877
	Standard deviation	0.09084	0.02830	0.00716	0.00967	0.14088	0.00295	0.09724
	t value	−0.98646	−2.26838	−0.72842	−1.36920	0.34373	1.88266	0.75975
JPY (−2)	Coefficient	−0.533897	−0.106320	0.018735	−0.068497	−0.098955	0.014686	0.520942
	Standard deviation	0.37632	0.11723	0.02965	0.04007	0.58362	0.01220	0.40282
	t value	−1.41873	−0.90697	0.63185	−1.70925	−0.16955	1.20365	1.29325
SP500 (−2)	Coefficient	0.133665	0.068168	0.007063	−0.108234	0.384718	−0.001683	0.375067
	Standard deviation	0.45540	0.14186	0.03588	0.04850	0.70627	0.01477	0.48747
	t value	0.29351	0.48053	0.19685	−2.23182	0.54472	−0.11399	0.76942
SVI (−2)	Coefficient	0.064947	0.002600	−0.000551	−0.002003	0.006269	0.000247	0.026340
	Standard deviation	0.01803	0.00562	0.00142	0.00192	0.02797	0.00058	0.01930
	t value	3.60159	0.46282	−0.38802	−1.04325	0.22417	0.42245	1.36461
USD (−2)	Coefficient	0.599314	−0.362583	0.019072	0.057129	0.452971	0.003090	−1.319591
	Standard deviation	0.90763	0.28273	0.07151	0.09665	1.40761	0.02943	0.97154
	t value	0.66031	−1.28242	0.26669	0.59107	0.32180	0.10501	−1.35825
VIX (−2)	Coefficient	−0.010045	−0.004217	−0.000970	−0.007474	0.007971	−0.000770	−0.026743
	Standard deviation	0.04539	0.01414	0.00358	0.00483	0.07039	0.00147	0.04858
	t value	−0.22130	−0.29825	−0.27119	−1.54626	0.11323	−0.52347	−0.55045
C	Coefficient	0.002676	1.58E−05	9.02E−05	0.000486	0.001907	1.74E−05	−0.000270
	Standard deviation	0.00205	0.00064	0.00016	0.00022	0.00318	6.7E−05)	0.00220)
	t value	1.30416	0.02475	0.55767	2.22614	0.59935	0.26144]	−0.12296]
R squared		0.025671	0.007505	0.001804	0.009159	0.004947	0.004295	0.008862
Adj. R squared		0.020376	0.002111	−0.003621	0.003774	−0.000461	−0.001116	0.003476

Significant level of 1%, 5%, 10% and the coefficients means the estimated coefficients.