Research Article
Relationship between Bitcoin Exchange Rate and Other Financial Indexes in Time Series
Table 6
Co-integration vector equation and the VECM.
| Co-integrating equation | Equation (2) | Equation (3) | |
| BTC | 1.0000 | 0.0000 | | SVI | 0.0000 | 1.0000 | | VIX | Coefficient | 16.0725 | 11.3168 | | Standard deviation | 2.2836 | 1.5958 | | t value | 7.0381 | 7.0912 | | C | − 49.2158 | − 31.4336 | | Error correction: | D(BTC) | D(SVI) | D(VIX) | Co-integrating equation (2) | Coefficient | − 0.0139 | 0.0208 | − 0.0051 | Standard deviation | 0.0037 | 0.0057 | 0.0039 | t value | − 3.7744 | 3.6354 | − 1.2972 | Co-integrating equation (3) | Coefficient | 0.0186 | − 0.0333 | 0.0021 | Standard deviation | 0.0052 | 0.0081 | 0.00560 | t value | 3.5346 | − 4.0969 | 0.3765 | BTC | Coefficient | 0.1037 | − 0.1032 | − 0.0081 | Standard deviation | 0.0274 | 0.0423 | 0.0291 | t value | 0.7826 | − 2.4376 | − 0.2786 | SVI | Coefficient | 0.0527 | 0.0208 | 0.0192 | Standard deviation | 0.0181 | 0.0280 | 0.0193 | t value | 2.8992 | 0.7410 | 0.9942 | VIX | Coefficient | − 0.0098 | 0.0028 | − 0.0388 | Standard deviation | 0.0262 | 0.04047 | 0.02785 | t value | − 0.3752 | 0.0698 | − 1.3941 | C | Coefficient | 0.0027 | 0.0020 | − 5.13E−05 | Standard deviation | 0.0020 | 0.0031 | 0.0021 | t value | 1.3436 | 0.6529 | − 0.0237 | R squared | 0.0353 | 0.0225 | 0.0325 | Adj. R squared | 0.0316 | 0.0187 | 0.0288 |
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Significant level of 1%, 5%, and 10%. |