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1\begin{table}[htbp]2\centering\small3\begin{threeparttable}4\caption{VAR(1) estimates on the trading-day grid}5\label{tab:var}6\setlength{\tabcolsep}{4pt}7\begin{tabular}{l rrrrr}8\toprule9 & \multicolumn{5}{c}{Dependent variable (day $t$)} \\10\cmidrule(lr){2-6}11Regressor & $\Delta\mathbb{E}^{\mathbb{Q}}[\Delta r]$ & 10-year yield & SPY & VIX & BTC \\12\midrule13 Constant & 0.137 & 0.325 & 0.094 & -0.123 & -0.087 \\14 & (1.27) & (0.82) & (1.18) & (-0.20) & (-0.30) \\15 $\Delta\mathbb{E}^{\mathbb{Q}}[\Delta r]$$_{t-1}$ & -0.123 & -0.117 & -0.039 & 0.157 & -0.260 \\16 & (-1.40) & (-0.39) & (-0.75) & (0.26) & (-0.80) \\17 10-year yield$_{t-1}$ & 0.002 & -0.034 & -0.035 & 0.364 & -0.113$^{*}$ \\18 & (0.10) & (-0.39) & (-1.29) & (1.52) & (-1.80) \\19 SPY$_{t-1}$ & -0.085 & 0.781 & 0.099 & -0.012 & 0.161 \\20 & (-0.43) & (1.01) & (0.69) & (-0.01) & (0.31) \\21 VIX$_{t-1}$ & 0.003 & -0.017 & 0.025 & -0.202 & 0.058 \\22 & (0.10) & (-0.21) & (1.60) & (-1.58) & (1.07) \\23 BTC$_{t-1}$ & 0.020 & -0.063 & 0.010 & -0.277 & -0.053 \\24 & (0.60) & (-0.55) & (0.37) & (-1.00) & (-0.48) \\25\midrule26$R^2$ & 0.018 & 0.036 & 0.054 & 0.057 & 0.052 \\27Observations & \multicolumn{5}{c}{109} \\28\bottomrule29\end{tabular}30\begin{tablenotes}31\small32\item \textit{Notes:} Equation-by-equation OLS of each variable on one lag of all five variables (the AIC-selected order; see Table~\ref{tab:granger}). Newey--West (5 lags) $t$-statistics in parentheses. Variables are defined in Table~\ref{tab:granger}. $^{***}$, $^{**}$, $^{*}$: 1\%, 5\%, 10\%.33\end{tablenotes}34\end{threeparttable}35\end{table}