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Macro Regulation and Fluctuation of Cryptocurrency
Market: Evidence from China
1School of Economics and Finance, Nanjing Audit University, Nanjing,211800, China
*
Corresponding author. Email: 181051322@
stu.nau.cn
ABSTRACT
Keywords
：
GRACH models, cryptocurrency, Marco regulation,
1. INTRODUCTION
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Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
Copyright © 2022 The Authors. Published by Atlantis Press International B.V.
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2. METHODS
2.1. data used in this study
2.2. the build of ARMA-GRACH models
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2.2.1. ARMA models
⑵
2.2.2. GRACH models
⑶
⑷
3. EMPIRICAL RESEARCH AND RESULTS
3.1. Descriptive Statistics
Table1
Variable
obs
Mean
Std.Dev.
Min
Max
lnxr
212
0.0033194
0.0590676
-0.3292
0.2307725
Figure 1
3.2. Research Procedure and Results
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（）
Table 2
Test Statistic
1% Critical Value
5% Critical Value
10% Critical Value
Z(t)
-9.942
-4.003
-3.435
-3.135
Table3
lag
LL
LR
df
p
FPE
AIC
HQIC
SBIC
0
350.199
0.001782
-3.49199
-3.48532
-3.4755*
1
352.356
4.3144
1
0.038
0.001762*
-3.50356
-3.49021
-3.47058
2
352.764
0.81466
1
0.038
0.001772
-3.49764
-3.47761
-3.44816
3
352.775
0.02306
1
0.879
0.00179
-3.48775
-3.46106
-3.42178
4
353.806
2.0618
1
0.151
0.001789
-3.48806
-3.45469
-3.4056
5
354.308
1.0051
1
0.316
0.001798
-3.48308
-3.44304
-3.38414
6
354.425
0.23355
1
0.629
0.001814
-3.47425
-3.42754
-3.35881
7
354.609
0.36802
1
0.544
0.001829
-3.46609
-3.42181
-3.33345
8
357.187
5.1563
1
0.023
0.001801
-3.48187
-3.42181
-3.33345
9
357.453
0.53017
1
0.467
0.001814
-3.47453
-3.40779
-3.30961
10
359.543
4.1815
1
0.041
0.001794
-3.48543
-3.41202
-3.30403
11
359.844
0.60051
1
0.438
0.001807
-3.47844
-3.39835
-3.28054
12
362.565
5.4424*
1
0.020
0.001776
-3.49565
-3.40889
-3.28126
Figure 2
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3.3 Results
Table4
Variables
Bitcoin
(1)
(2)
(3)
(4)
Within 1 week=1
1.74**
(0.88)
Within 2 weeks=1
1.31***
(0.40)
Within 3 weeks=1
1.06***
(0.23)
Time point and later=1
0.14
(0.17)
ARCH
-0.10
-0.10
-0.09
0.005
(0.02)
(0.05)
(0.04)
(0.034)
GARCH
-0.10
0.17
0.19
0.09
(0.02)
(0.60)
(0.58)
(5.8)
Constant term
-6.29
-6.56
-6.66
-6.53
(0.41)
(0.67)
(0.67)
(6.47)
3.4 Robustness Check
.
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Table5
Variables
Carnado
(1)
(2)
(3)
(4)
Within 1 week=1
2.47***
(0.67)
Within 2 weeks=1
1.81***
(0.47)
Within 3 weeks=1
-0.03
(0.95)
Time point and later=1
-0.43
(0.29)
ARCH
0.11*
0.12**
0.15***
0.14***
(0.06)
(0.06)
(0.06)
(0.06)
GARCH
0.65***
0.59***
0.76***
0.75***
(0.17)
(0.20)
(0.09)
(0.11)
Constant term
-7.11***
-6.88***
-7.79***
-7.46***
(0.62)
(0.60)
(0.54)
(0.68)
4. CONCLUSION
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REFERENCES
International Journal of
Information Technology & Decision Making
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