Modeling the Linkages between Bitcoin, Gold, Dollar, Crude Oil, and Stock Markets: A GARCH-EVT-Copula Approach

Table 1

Descriptive statistics of the returns.

	Bitcoin	Gold	Dollar	Oil	Stock
Observations	2134	2134	2134	2134	2134
Mean	0.0023	0.0002	−0.0001	0.0003	0.0005
S.D.	0.0457	0.0095	0.0048	0.0295	0.0109
Min	−0.4647	−0.0511	−0.0242	−0.2822	−0.1277
Max	0.3575	0.0581	0.0302	0.3196	0.0897
Skewness	−0.5200	−0.0299	0.0585	0.1661	−0.9862
Kurtosis	14.2187	7.0228	5.5921	28.0320	23.8222
J-B statistics	11000^∗∗∗ (0.0000)	1439^∗∗∗ (0.0000)	599^∗∗∗ (0.0000)	56000^∗∗∗ (0.0000)	39000^∗∗∗ (0.0000)
ARCH	62.023^∗∗∗ (0.0000)	40.645^∗∗∗ (0.0000)	39.411^∗∗∗ (0.0000)	273.683^∗∗∗ (0.0000)	352.842^∗∗∗ (0.0000)
ADF	−12.099^∗∗∗ (0.0000)	−9.083^∗∗∗ (0.0000)	−8.055^∗∗∗ (0.0000)	−7.665^∗∗∗ (0.0000)	−11.516^∗∗∗ (0.0000)

Note. values are in the parentheses. ^∗∗∗ indicates the significant level at 1%.