Tài liệu luận văn Mối Quan Hệ Giữa Mức Độ Đầu Cơ Và Độ Biến Động Giá Bitcoin

Coef.
/b1
/b0

-.003798
.0618875

Robust
Std. Err.
.001413
.0013934

Number of obs

z
-2.69
44.42

P>|z|
0.007
0.000

=

1328

[95% Conf. Interval]
-.0065673
.0591566

-.0010286
.0646185

Instruments for equation 1: speculation _cons

(2)
. gmm ( mv10daystdev- {b2}* bitcoint5t1- {b0}), instruments(bitcoint5t1) onestep
warning: 16 missing values returned for equation 1 at initial values
Step 1
Iteration 0:
Iteration 1:
Iteration 2:

GMM criterion Q(b) =
GMM criterion Q(b) =
GMM criterion Q(b) =

.00402281
8.665e-30
2.415e-36

GMM estimation
Number of parameters =
2
Number of moments
=
2
Initial weight matrix: Unadjusted

Coef.
/b2
/b0

.0204227
.0622708

Robust
Std. Err.
.0075399
.0013358

Number of obs

z
2.71
46.62

Instruments for equation 1: bitcoint5t1 _cons

=

1408

P>|z|

[95% Conf. Interval]

0.007
0.000

.0056447
.0596527

.0352007
.0648889


(3)
. gmm ( mv10daystdev- {b3}* turnt5t1- {b0}), instruments(turnt5t1) onestep
warning: 16 missing values returned for equation 1 at initial values
Step 1
Iteration 0:
Iteration 1:
Iteration 2:

GMM criterion Q(b) =
GMM criterion Q(b) =
GMM criterion Q(b) =

.00400565
5.358e-31
2.301e-35

GMM estimation
Number of parameters =
2
Number of moments
=
2

Initial weight matrix: Unadjusted

Coef.
/b3
/b0

.0001148
.0631984

Number of obs

Robust
Std. Err.
.0003087
.0012506

z
0.37
50.53

P>|z|
0.710
0.000

=

1408

[95% Conf. Interval]
-.0004903

.0607473

.0007199
.0656496

Instruments for equation 1: turnt5t1 _cons

(4)
. gmm ( mv10daystdev- {b4}* ln_outstand- {b0}), instruments(ln_outstand) onestep
warning: 20 missing values returned for equation 1 at initial values
Step 1
Iteration 0:
Iteration 1:
Iteration 2:

GMM criterion Q(b) =
GMM criterion Q(b) =
GMM criterion Q(b) =

.00409708
5.036e-27
1.673e-36

GMM estimation
Number of parameters =
2
Number of moments
=
2
Initial weight matrix: Unadjusted

Coef.
/b4
/b0

-.0029341
.1088365

Robust
Std. Err.
.0004259
.0071067

Number of obs

z
-6.89
15.31

Instruments for equation 1: ln_outstand _cons

P>|z|
0.000
0.000

=

1408

[95% Conf. Interval]

-.0037689
.0949075

-.0020993
.1227655


(5)
. gmm ( mv10daystdev- {b5}* mktgarch- {b0}), instruments( mktgarch) onestep
warning: 19 missing values returned for equation 1 at initial values
Step 1
Iteration 0:
Iteration 1:
Iteration 2:

GMM criterion Q(b) =
GMM criterion Q(b) =
GMM criterion Q(b) =

.00400545
3.433e-34
1.768e-35

GMM estimation
Number of parameters =
2
Number of moments
=
2
Initial weight matrix: Unadjusted

Coef.
/b5
/b0

-3.236986
.0635789

Number of obs

Robust
Std. Err.
4.999344
.0014123

z
-0.65
45.02

P>|z|
0.517
0.000

=

1408

[95% Conf. Interval]
-13.03552
.0608108

6.561548
.0663469

Instruments for equation 1: mktgarch _cons

(6)
. gmm ( mv10daystdev- {b1}* speculation- {b2}* bitcoint5t1- {b3}* turnt5t1- {b4}
> * ln_outstand- {b5}* mktgarch- {b0}), instruments( speculation bitcoint5t1 tu
> rnt5t1 ln_outstand mktgarch ) onestep
Step 1
Iteration 0:
Iteration 1:
Iteration 2:

GMM criterion Q(b) =
GMM criterion Q(b) =
GMM criterion Q(b) =

.00370103
6.968e-29
1.017e-36

GMM estimation
Number of parameters =
6
Number of moments
=
6
Initial weight matrix: Unadjusted

Coef.
/b1
/b2
/b3
/b4
/b5
/b0

-.0038427
.0192616
.0003934
-.0014925
5.885391
.0842548

Robust
Std. Err.
.0014251
.0084883
.0007958
.0004172
3.260852
.0070186

Number of obs

z
-2.70
2.27

0.49
-3.58
1.80
12.00

P>|z|
0.007
0.023
0.621
0.000
0.071
0.000

=

1328

[95% Conf. Interval]
-.0066359
.0026249
-.0011665
-.0023102
-.5057612
.0704986

-.0010496
.0358983
.0019532
-.0006749
12.27654

.098011

Instruments for equation 1: speculation bitcoint5t1 turnt5t1 ln_outstand
mktgarch _cons


Mơ hình nghiên cứu (2.1.3):
Extremet

=

β0

+

β1Speculationt +

β2%∆Bitcoint-5,t-1 +

β3Turnt-5,t-1 +

β4Ln(Outstandt)+ β5MktGARCH(1,1)t + εt
. gmm ( extreme- {b1}* speculation- {b2}* bitcoint5t1- {b3}* turnt5t1- {b4}* ln
> _outstand- {b5}* mktgarch- {b0}), instruments( speculation bitcoint5t1 turnt5t
> 1 ln_outstand mktgarch ) onestep
Step 1
Iteration 0:
Iteration 1:
Iteration 2:

GMM criterion Q(b) =
GMM criterion Q(b) =
GMM criterion Q(b) =

.01486817
1.139e-26
6.081e-35

GMM estimation
Number of parameters =
6
Number of moments
=
6
Initial weight matrix: Unadjusted

Coef.
/b1
/b2
/b3
/b4
/b5
/b0

-.0039655
.1361608
.0443773
.0047906
-42.22751
-.006896

Robust
Std. Err.
.0094174
.0762379
.0092277
.0031844
25.19436
.0504047

Number of obs

z
-0.42
1.79
4.81
1.50
-1.68
-0.14

P>|z|
0.674
0.074
0.000
0.132
0.094
0.891

=

1328

[95% Conf. Interval]
-.0224233
-.0132626
.0262914
-.0014507
-91.60755
-.1056873

.0144923
.2855843
.0624633
.0110319
7.152527
.0918954

Instruments for equation 1: speculation bitcoint5t1 turnt5t1 ln_outstand
mktgarch _cons