coefficients. Table 1. Goodness-of-Fit Measures Levels Global East Asia Latin Model with Risk Aversion=15 RMSE 6.41 10.78 8.32 Theil Coefficient 0.42 0.27 0.17 Correlation 0.49 0.78 0.89 Model with Risk Aversion=5 RMSE 9.81 14.32 15.20 Theil Coefficient 0.56 0.33 0.29 Correlation 0.23 0.74 0.72 MSCI Index RMSE 3.37 7.85 5.44 Theil Coefficient 0.25 0.22 0.12 Correlation 0.79 0.81 0.96 Differences
intra-day prices. BTC = Bitcoin, ETH = Ether, TTH = Tether. A similar pattern holds for correlation with equity markets in emerging market economies captured by the MSCI emerging markets index. 11 The volatility correlation between Bitcoin and Ether and the MSCI index has increased three to four-fold between the pre- and post-pandemic periods, while that between Tether and the MSCI index has increased by more than that. It is also interesting to note that the magnitude of the correlation between volatility in crypto asset prices and the MSCI index is similar to