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

Significant level of 1%, 5%, and 10%.