Econometric project

- test the stationarity (Only Augmented Dickey & Fuller test)
- Make the series stationary (and do ARMA/Garch, etc )

regression by OLS:

Bitcoin = alpha + B1*Bitcoin(i) + B2*(Index(i)*(1-D1)) (Equation 1)
Bitcoin = alpha + B1*Bitcoin(i) + B2*(Index(i)*(1-D1)) + B3*(D1 * Index) + epsilon (Equation 2)

(i) : try lags values to see if this change something or not or what does it do . ( make a comment and choose the best one )

(Index are MSCIUS MSCI ASIA , MSCI EUROZONE , MSCI Emmerging countries that i give you in a dataset)

With D1 a dummy variable:

D1 = 1 if the distribution percentile of the index return is less than 1% ( and an other with 5%)
0 otherwise


present the result table with :

column 1 : the results of equation 1 with 1% percentile Dummy Varaible
interpreting the results


column 2 : the results of equation 2 with 1% percentile Dummy Varaible
interpreting the results

column 3 : the results of equation 1 with 5% percentile Dummy Varaible
interpreting the results

column 4 : the results of equation 2 with 5% percentile Dummy Varaible
interpreting the results

column 5 : the results of equation 1 with 5% percentile Dummy Varaible on a crisis
interpreting the results

column 6 : the results of equation 1 with 5% percentile Dummy Varaible on a crisis
interpreting the results

And do all of this 3 times on weekly monthly & daily return thats i give you in a dataset