Cointegrating

Continuing from the previous note, it turns out that neither Bitcoin (blue) nor NVDA (yellow) have a significant impact. Let us introduce a new player: Ether (green). We will examine their collective behavior over the long term within the framework of the VAR model. Visually, the behavior of these series appears to be coordinated, but analytical confirmation is necessary—through the Johansen or Engle-Granger tests. All three time series belong to the set I(1), meaning they are integrated of order 1 (as per the Dickey-Fuller test). The Johansen test results are as follows:

Test 10pct 5pct 1pct

r <= 2 5.21 7.52 9.24 12.97

r <= 1 16.42 17.85 19.96 24.60

r = 0 42.16 32.00 34.91 41.07

The analysis was conducted at the 5% significance level (5pct) and indicates that there is more than one cointegrating vector.