Table 2.
Predictability of Gtrend for cryptocurrency.
| μ | α | β | θ | w | m | eθ⋅φ1(ω) − 1 | |
|---|---|---|---|---|---|---|---|
| Full Sample | |||||||
| Bitcoin | 3.64E-05 [6.75E-05] |
1.46E-01⁎⁎⁎ [3.11E-03] |
8.36E-01⁎⁎⁎ [2.98E-03] |
5.40E-03⁎⁎⁎ [4.69E-04] |
1.00E+00⁎⁎⁎ [7.86E-02] |
-1.96E-04⁎⁎⁎ [2.24E-05] |
0.541 |
| Ethereum | 1.12E-04 [1.04E-04] |
9.67E-02⁎⁎⁎ [2.96E-03] |
8.62E-01⁎⁎⁎ [4.06E-03] |
5.56E-03⁎⁎⁎ [2.25E-04] |
1.00E+00⁎⁎⁎ [6.59E-02] |
−2.53E-04⁎⁎⁎ [1.45E-05] |
0.558 |
| Litecoin | −2.92E-05 [2.86E-04] |
5.04E-02⁎⁎⁎ [3.24E-03] |
9.00E-01⁎⁎⁎ [6.31E-03] |
9.63E-02⁎⁎⁎ [4.88E-04] |
5.01E+00⁎⁎⁎ [2.92E-03] |
−3.56E-03⁎⁎⁎ [1.80E-05] |
62.01 |
| Ripple | 3.86E-04⁎⁎⁎ [1.09E-04] |
2.34E-01⁎⁎⁎ [1.08E-02] |
7.06E-01⁎⁎⁎ [1.02E-02] |
−7.23E-03⁎⁎⁎ [5.08E-04] |
4.70E+01⁎⁎⁎ [1.36E+01] |
7.91E-04⁎⁎⁎ [5.35E-05] |
−28.809 |
| Pre-COVID-19 Pandemic Announcement | |||||||
| Bitcoin | −2.32E-04⁎ [1.31E-04] |
1.01E-01⁎⁎⁎ [8.77E-03] | 7.84E-01⁎⁎⁎ [1.71E-02] |
−2.80E-04⁎⁎⁎ [5.31E-05] |
2.87E+00 [2.54E+00] |
8.43E-05⁎⁎⁎ [3.96E-06] |
−0.080 |
| Ethereum | −1.18E-04 [1.34E-04] |
1.23E-01⁎⁎⁎ [6.66E-03] |
8.03E-01⁎⁎⁎ [1.42E-02] |
3.05E-03⁎⁎⁎ [2.33E-04] |
6.85E+00⁎⁎⁎ [2.41E+00] |
−1.02E-04⁎⁎⁎ [1.45E-05] |
2.111 |
| Litecoin | 2.11E-04 [3.87E-04] |
1.25E-02 [1.76E-02] |
1.80E-01 [9.48E-01] |
−4.88E-03⁎⁎⁎ [2.31E-04] |
1.29E+00⁎⁎⁎ [1.62E-01] |
5.18E-04⁎⁎⁎ [1.88E-05] |
−0.63 |
| Ripple | −1.29E-04 [4.72E-04] |
8.67E-03 [7.81E-03] |
9.40E-02 [2.36E+00] |
−4.94E-03⁎⁎⁎ [1.58E-04] |
4.49E+01⁎⁎⁎ [1.20E+01] |
4.86E-04⁎⁎⁎ [1.30E-05] |
−19.893 |
| Post-COVID-19 Pandemic Announcement (Covering period of the first wave: 11th Mar. – 8th May 2020) | |||||||
| Bitcoin | 7.68E-04⁎⁎⁎ [1.65E-04] |
9.26E-02⁎⁎⁎ [4.67E-03] |
9.03E-01⁎⁎⁎ [4.92E-03] |
4.28E-02⁎⁎⁎ [7.42E-05] |
3.55E+00⁎⁎⁎ [3.38E-02] |
−2.18E-03⁎⁎⁎ [1.45E-06] |
16.42 |
| Ethereum | 5.79E-04⁎ [3.15E-04] |
8.66E-02⁎⁎⁎ [8.96E-03] |
8.49E-01⁎⁎⁎ [1.58E-02] |
5.23E-03⁎⁎⁎ [3.92E-04] |
4.75E+01⁎⁎ [2.20E+01] |
−1.43E-04⁎⁎⁎ [2.89E-05] |
28.21 |
| Litecoin | 2.83E-04 [3.46E-04] |
9.82E-02⁎⁎⁎ [1.17E-02] |
8.08E-01⁎⁎⁎ [2.13E-02] |
6.14E-03⁎⁎⁎ [3.06E-04] |
4.93E+01⁎⁎⁎ [1.32E+01] |
−2.06E-04⁎⁎⁎ [1.86E-05] |
35.32 |
| Ripple | −1.58E-04 [4.29E-04] |
5.00E-02⁎⁎⁎ [5.81E-03] |
9.00E-01⁎⁎⁎ [1.82E-02] |
9.94E-02⁎⁎⁎ [9.41E-03] |
5.00E+00⁎⁎⁎ [8.24E-01] |
−3.77E-03⁎⁎⁎ [3.52E-04] |
64.40 |
| Post-COVID − 19 Pandemic Announcement (Covering period of the first and second waves: 11th Mar. – 29th Sept., 2020) | |||||||
| Bitcoin | 6.23E-05 [6.98E-05] |
6.17E-02⁎⁎⁎ [8.48E-04] |
9.38E-01⁎⁎⁎ [8.39E-04] |
4.66E-02⁎⁎⁎ [1.83E-03] |
2.33E+00⁎⁎⁎ [1.35E-01] |
−1.75E-03⁎⁎⁎ [6.80E-05] |
11.469 |
| Ethereum | 2.18E-04 [1.73E-04] |
1.03E-02⁎⁎⁎ [3.70E-04] |
9.88E-01⁎⁎⁎ [4.12E-04] |
-1.82E-04⁎ [1.08E-04] |
5.91E+00 [1.43E+01] |
1.47E-04⁎⁎⁎ [1.58E-05] |
−0.108 |
| Litecoin | 1.75E-04 [1.17E-04] |
1.58E-01⁎⁎⁎ [1.21E-02] |
7.47E-01⁎⁎⁎ [1.38E-02] |
7.23E-04⁎⁎⁎ [1.77E-04] |
4.59E+00 [6.07E+00] |
7.50E-05⁎⁎⁎ [6.32E-06] |
0.332 |
| Ripple | 7.25E-05 [1.34E-04] |
1.75E-01⁎⁎⁎ [9.68E-03] |
7.30E-01⁎⁎⁎ [1.72E-02] |
1.71E-03⁎⁎⁎ [2.04E-04] |
5.05E+00 [3.37E+00] |
2.48E-05⁎⁎⁎ [8.37E-06] |
0.867 |
Note: μ - unconditional mean of cryptocurrency price returns, α- ARCH term, β - GARCH term, θ - slope coefficient, w - the adjusted beta polynomial weight, and m - long run constant term. The figures in square brackets are the standard errors of the parameter estimates, while the ***, ** and * indicate statistical significance at 1%, 5% and 10%, respectively.