Table 3.

Parameter estimates of the crisis GARCH(1,1)

	Estimate	Std. Error	t-value	Pr(> |t| )
$\mu$	0.00119	0.00064	1.849	0.064
$\varphi$	0.01316	0.02290	0.575	0.565
$\omega$	0.00008	0.00003	2.681	0.007
$\alpha$	0.14447	0.03211	4.500	$<0.001$
$\beta$	0.81655	0.03663	22.292	$<0.001$
attacks	0.00101	0.00055	1.845	0.065
COVID-19	0.00041	0.00039	1.067	0.286

The table presents the parameter estimates of a GARCH(1,1) model with exogenous dummy variables accounting for days of Bitcoin market-related events (“attacks”) or the COVID-19-induced stock market crash (February 21 to May 31, 2020). Standard errors are calculated accounting for heteroscedasticity and autocorrelation