Table 4.
Dynamic correlations between BTC and other underlined assets during market volatility and the Russian Ukraine conflict 2022 crisis.
| Indices | Hedge(β0) | Quantile for Underlined Assets |
Russian Crisis |
||
|---|---|---|---|---|---|
| (β1 10 %) | (β2 5 %) | (β2 1 %) | |||
| BTC | −0.212 | −0.125 | −0.510 | −0.221 | −0.221 |
| Gold | −0.287 | −0.220 | −0.227 | −0.251 | −0.251 |
| Stock | −0.270 | −0.278 | −0.258 | −0.412 | −0.412 |
| Bonds | −0.275 | −0.712 | −0.218 | −0.220 | −0.220 |
| USD/RUB | −0.284 | −0.255 | −0.241 | −0.245 | −0.245 |
Note: ***, **, * indicate significance at the 10 %, 5 %, and 1 % levels, respectively. The underlined assets are abbreviated as BTC for Bitcoin, GLD for gold, STC for stock, BND for bonds and XRT for exchange rate of USD/RUB are used in the tables and figures.