BTC/USD Adj Close

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The optical examination of the BTC/USD price graph indicates the data is not stationary.
This suggests that the statistical characteristics of the price, such as mean or volatility, vary
over time.

Here is an analysis of the explanation:

Ascending Trend: The overall price trajectory inclines upwards, signifying a general rise in
the worth of Bitcoin in comparison to USD. Fluctuating Volatility: The price fluctuations
appear more prominent in recent periods than in earlier ones. This indicates varying volatility
over time.

Potential causes for this lack of stationarity consist of:

Heightened Acceptance: With Bitcoin gaining broader recognition, its price becomes more
vulnerable to increased buying and selling activities, resulting in heightened volatility.
Regulatory Ambiguity: The changing regulatory environment surrounding Bitcoin induces
price insecurity due to uncertainties and possible alterations. Technological Advancement:
Progress in technologies related to Bitcoin, such as reliable storage solutions, may stimulate
demand and price changes.

Understanding this lack of stationarity is essential for your investigation because

conventional statistical techniques may not be appropriate for analyzing the data. It is
advisable to utilize techniques specifically crafted for non-stationary time series for a more
precise evaluation of the BTC/USD price.
Null Hypothesis: BTC_USD_ADJ_CLOSE has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=17)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 0.334687 0.9799

Test critical values: 1% level -3.443776
5% level -2.867354
10% level -2.569929

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(BTC_USD_ADJ_CLOSE)
Method: Least Squares
Date: 03/30/24 Time: 13:18
Sample (adjusted): 1/15/2015 3/14/2024
Included observations: 479 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

BTC_USD_ADJ_CLOSE(-1) 0.002060 0.006156 0.334687 0.7380

C 119.4177 142.3198 0.839080 0.4018

R-squared 0.000235 Mean dependent var 151.9607

Adjusted R-squared -0.001861 S.D. dependent var 2272.403
S.E. of regression 2274.516 Akaike info criterion 18.30109
Sum squared resid 2.47E+09 Schwarz criterion 18.31851
Log likelihood -4381.111 Hannan-Quinn criter. 18.30794
F-statistic 0.112016 Durbin-Watson stat 1.991920
Prob(F-statistic) 0.738008

The outcome of the unit root test using the Augmented Dickey-Fuller (ADF) test on the price of
BTC/USD indicates the following:

Null Hypothesis: BTC/USD_ADJ_CLOSE has a unit root, implying that the time series is non-
stationary.
Test Statistic: The ADF test statistic is -3.3443776.
Critical Values:
1% level: -3.443776
5% level: -2.867354
10% level: -2.5699229
Interpretation:
Since the t-Statistic is greater than all critical values at 1%, 5%, and 10% levels, we fail to reject the
null hypothesis.
Therefore, the BTC/USD price series is not stationary.
In simpler terms, this means that the BTC/USD price data exhibits a trend and is not in a stationary
state. Stationarity is important for time series analysis, so further steps may be needed to transform the
data or account for the trend when modeling BTC/USD prices.

Differenced BTC/USD Adj Close

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-15,000
2015 2016 2017 2018 2019 2020 2021 2022 2023

Stationary at 1st difference at visual inspection

Null Hypothesis: D(BTC_USD_ADJ_CLOSE) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=17)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -21.67986 0.0000

Test critical values: 1% level -3.443805
5% level -2.867367
10% level -2.569936

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(BTC_USD_ADJ_CLOSE,2)
Method: Least Squares
Date: 03/30/24 Time: 14:15
Sample (adjusted): 1/22/2015 3/14/2024
Included observations: 478 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(BTC_USD_ADJ_CLOSE(-1)) -1.003206 0.046274 -21.67986 0.0000

C 152.9631 104.3480 1.465893 0.1433

R-squared 0.496837 Mean dependent var 14.83876

Adjusted R-squared 0.495780 S.D. dependent var 3206.840
S.E. of regression 2277.127 Akaike info criterion 18.30339
Sum squared resid 2.47E+09 Schwarz criterion 18.32084
Log likelihood -4372.511 Hannan-Quinn criter. 18.31025
F-statistic 470.0163 Durbin-Watson stat 1.980558
Prob(F-statistic) 0.000000

By statistical analysis we reject null hypotheses as p value is less than 0.05 that states that BTC-USD
at I (1)

Nvidia
 Nvidia Adj Close
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Visual Inspection

Null Hypothesis: NVIDIA_ADJ_CLOSE has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=17)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 6.108996 1.0000

Test critical values: 1% level -3.443776
5% level -2.867354
10% level -2.569929

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(NVIDIA_ADJ_CLOSE)
Method: Least Squares
Date: 03/30/24 Time: 14:17
Sample (adjusted): 1/15/2015 3/14/2024
Included observations: 479 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

NVIDIA_ADJ_CLOSE(-1) 0.026187 0.004287 6.108996 0.0000

C -1.318119 0.805923 -1.635541 0.1026

R-squared 0.072562 Mean dependent var 1.887860

Adjusted R-squared 0.070617 S.D. dependent var 13.88559
S.E. of regression 13.38633 Akaike info criterion 8.030512
Sum squared resid 85475.48 Schwarz criterion 8.047930
Log likelihood -1921.308 Hannan-Quinn criter. 8.037359
F-statistic 37.31983 Durbin-Watson stat 1.980532
Prob(F-statistic) 0.000000
By stattiscial we fail to reject null as p value is more than 0.05 hence series is not stationary

Differenced Nvidia Adj Close

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2015 2016 2017 2018 2019 2020 2021 2022 2023
1st level diff
Null Hypothesis: D(NVIDIA_ADJ_CLOSE) has a unit root
Exogenous: Constant
Lag Length: 10 (Automatic - based on SIC, maxlag=17)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.448907 0.8978

Test critical values: 1% level -3.444098
5% level -2.867496
10% level -2.570005

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(NVIDIA_ADJ_CLOSE,2)
Method: Least Squares
Date: 03/30/24 Time: 14:21
Sample (adjusted): 4/02/2015 3/14/2024
Included observations: 468 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(NVIDIA_ADJ_CLOSE(-1)) -0.067372 0.150081 -0.448907 0.6537

D(NVIDIA_ADJ_CLOSE(-1),2) -0.881381 0.152764 -5.769542 0.0000
D(NVIDIA_ADJ_CLOSE(-2),2) -0.864039 0.149108 -5.794707 0.0000
D(NVIDIA_ADJ_CLOSE(-3),2) -0.783171 0.142072 -5.512515 0.0000
D(NVIDIA_ADJ_CLOSE(-4),2) -0.563518 0.141738 -3.975765 0.0001
D(NVIDIA_ADJ_CLOSE(-5),2) -0.520620 0.137324 -3.791176 0.0002
D(NVIDIA_ADJ_CLOSE(-6),2) -0.459057 0.127414 -3.602886 0.0003
D(NVIDIA_ADJ_CLOSE(-7),2) -0.214028 0.114979 -1.861454 0.0633
D(NVIDIA_ADJ_CLOSE(-8),2) -0.285402 0.098106 -2.909103 0.0038
D(NVIDIA_ADJ_CLOSE(-9),2) -0.346852 0.084448 -4.107302 0.0000
D(NVIDIA_ADJ_CLOSE(-10),2) -0.312724 0.061530 -5.082458 0.0000
C 0.677408 0.635174 1.066492 0.2868

R-squared 0.527072 Mean dependent var 0.047783

Adjusted R-squared 0.515664 S.D. dependent var 18.79195
S.E. of regression 13.07811 Akaike info criterion 8.005064
Sum squared resid 77992.90 Schwarz criterion 8.111435
Log likelihood -1861.185 Hannan-Quinn criter. 8.046920
F-statistic 46.20063 Durbin-Watson stat 2.003865
Prob(F-statistic) 0.000000

By stattiscial we fail to reject null as p value is more than 0.05 hence series is not stationary
Null Hypothesis: D(NVIDIA_ADJ_CLOSE,2) has a unit root
Exogenous: Constant
Lag Length: 9 (Automatic - based on SIC, maxlag=17)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -12.48644 0.0000

Test critical values: 1% level -3.444098
5% level -2.867496
10% level -2.570005

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(NVIDIA_ADJ_CLOSE,3)
Method: Least Squares
Date: 03/30/24 Time: 14:23
Sample (adjusted): 4/02/2015 3/14/2024
Included observations: 468 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(NVIDIA_ADJ_CLOSE(-1),2) -6.639661 0.531750 -12.48644 0.0000

D(NVIDIA_ADJ_CLOSE(-1),3) 4.692800 0.513593 9.137198 0.0000
D(NVIDIA_ADJ_CLOSE(-2),3) 3.768042 0.480286 7.845417 0.0000
D(NVIDIA_ADJ_CLOSE(-3),3) 2.931327 0.434423 6.747631 0.0000
D(NVIDIA_ADJ_CLOSE(-4),3) 2.316942 0.378110 6.127688 0.0000
D(NVIDIA_ADJ_CLOSE(-5),3) 1.749006 0.314721 5.557324 0.0000
D(NVIDIA_ADJ_CLOSE(-6),3) 1.249512 0.245060 5.098792 0.0000
D(NVIDIA_ADJ_CLOSE(-7),3) 1.001536 0.176646 5.669732 0.0000
D(NVIDIA_ADJ_CLOSE(-8),3) 0.689609 0.116391 5.924947 0.0000
D(NVIDIA_ADJ_CLOSE(-9),3) 0.322777 0.057260 5.637066 0.0000
C 0.592000 0.605480 0.977737 0.3287

R-squared 0.838723 Mean dependent var -0.188044

Adjusted R-squared 0.835194 S.D. dependent var 32.18691
S.E. of regression 13.06668 Akaike info criterion 8.001232
Sum squared resid 78027.36 Schwarz criterion 8.098739
Log likelihood -1861.288 Hannan-Quinn criter. 8.039601
F-statistic 237.6641 Durbin-Watson stat 2.007113
Prob(F-statistic) 0.000000

At second diff series become stationary

Pairwise Granger Causality Tests

Date: 03/30/24 Time: 14:25
Sample: 1/08/2015 3/14/2024
Lags: 2

Null Hypothesis: Obs F-Statistic Prob.

BTC_USD_ADJ_CLOSE does not Granger Cause NVIDIA_ADJ_CLOSE 478 0.66183 0.5164

NVIDIA_ADJ_CLOSE does not Granger Cause BTC_USD_ADJ_CLOSE 7.79890 0.0005

BTC x Nvidia
Nvidia -> BTC