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 at initial values Step 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 = Number of moments = 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 at initial values Step 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 = Number of moments = 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 at initial values Step 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 = Number of moments = 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 at initial values Step 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 = Number of moments = 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 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 = Number of moments = 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 > ln_outstand mktgarch ) onestep Step 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 = Number of moments = 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 ... gmm ( mv10daystdev- {b1}* speculation- {b2}* bitcoint5t1- {b3}* turnt5t1- {b4} > * ln_outstand- {b5}* mktgarch- {b0}), instruments( speculation bitcoint5t1 tu > rnt5t1 ln_outstand mktgarch )... 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)+... + εt gmm ( extreme- {b1}* speculation- {b2}* bitcoint5t1- {b3}* turnt5t1- {b4}* ln > _outstand- {b5}* mktgarch- {b0}), instruments( speculation bitcoint5t1 turnt5t > ln_outstand mktgarch ) onestep