Table 3 VAR Results for volatility of Bitcoin, Bitcoin cash, Ethereum, Ethereum classic, Litecoin and Ripple.
From: Impact of Google searches and social media on digital assets’ volatility
Bitcoin volatility | Bitcoin cash volatility | Ethereum volatility | Ethereum classic volatility | Litecoin volatility | Ripple volatility | |
|---|---|---|---|---|---|---|
Panel A: VAR Estimates | ||||||
Constant | −0.0054 (0.0358) | 0.0069 (0.0405) | 0.0013 (0.0516) | 0.0035 (0.0410) | 0.014 (0.0411) | −0.0024 (0.0597) |
Volatilityt-1 | 0.8798 (0.0874) | 0.8702*** (0.0421) | 0.7053*** (0.0551) | 0.8440*** (0.0447) | 0.8336*** (0.0429) | 0.7059*** (0.0818) |
Volatilityt-2 | 0.1972* (0.1162) | −0.1449* (0.0775) | ||||
Volatilityt-3 | −0.2407*** (0.0780) | |||||
Web Searcht-1 | 0.2433*** (0.0658) | 0.0404 (0.0409) | 0.1819*** (0.0540) | 0.0721* (0.0417) | 0.1542*** (0.0440) | 0.2019*** (0.0691) |
Web Searcht-2 | −0.0124 (0.0865) | −0.0504 (0.0680) | ||||
Web Searcht-3 | −0.1324* (0.0716) | |||||
News Searcht-1 | 0.0323 (0.0412) | 0.0369 (0.0411) | 0.0323 (0.0534) | −0.0407 (0.0414) | −0.0556 (0.042) | 0.1198* (0.0612) |
News Searcht-2 | 0.0960** (0.0406) | 0.0108 (0.0616) | ||||
News Searcht-3 | 0.0297 (0.0431) | |||||
YouTube Searcht-1 | −0.0690 (0.0487) | 0.0609 (0.0419) | −0.0067 (0.0550) | −0.0041 (0.0427) | 0.0069 (0.0423) | 0.1676** (0.0672) |
YouTube Searcht-2 | 0.1142** (0.0511) | −0.2162*** (0.0689) | ||||
YouTube Searcht-3 | −0.0558 (0.0478) | |||||
Positive Sentimentt-1 | −0.0250 (0.0493) | 0.0042 (0.0648) | −0.0398 (0.0694) | −0.0841** (0.0422) | 0.0003 (0.0523) | 0.0744 (0.0700) |
Positive Sentimentt-2 | 0.0008 (0.0490) | 0.0059 (0.0665) | ||||
Positive Sentimentt-3 | 0.0048 (0.0399) | |||||
Negative Sentimentt-1 | −0.0047 (0.0436) | 0.0397 (0.0551) | 0.0421 (0.0619) | 0.1394*** (0.0422) | 0.1333*** (0.0459) | 0.1072 (0.0680) |
Negative Sentimentt-2 | 0.0647 (0.034) | 0.0106 (0.0667) | ||||
Negative Sentimentt-3 | 0.0159 (0.0420) | |||||
Neutral Sentimentt-1 | −0.0128 (0.0501) | −0.0130 (0.0635) | 0.0184 (0.0652) | −0.0038 (0.0445) | −0.0290 (0.0520) | 0.08 (0.0714) |
Neutral Sentimentt-2 | 0.0097 (0.0516) | 0.0615 (0.0668) | ||||
Neutral Sentimentt-3 | −0.0298 (0.0425) | |||||
Panel B: Test for Granger-causality | ||||||
Web Search | 20.2102*** | 0.9732 | 11.3342*** | 2.9879* | 12.3003*** | 8.5960** |
News Search | 7.0289* | 0.8035 | 0.3656 | 0.9672 | 1.7570 | 3.8570 |
YouTube Search | 5.6730 | 2.1066 | 0.0148 | 0.0092 | 0.0263 | 13.3779*** |
Positive Sentiment | 0.2747 | 0.0043 | 0.3284 | 3.9680** | 4.37E-05 | 1.1295 |
Negative Sentiment | 2.3810 | 0.5209 | 0.4629 | 10.9189*** | 8.4408*** | 2.7727 |
Neutral Sentiment | 0.5733 | 0.0420 | 0.0796 | 0.0071 | 0.3116 | 2.2512 |
Observations | 150 | 152 | 152 | 152 | 152 | 151 |
R2 | 0.84 | 0.76 | 0.61 | 0.75 | 0.76 | 0.52 |
Durbin-Watson Stat | 1.97 | 2 | 1.95 | 1.83 | 1.94 | 2.05 |
