Relation between PETH and SP500.

We analyse the pattern of daily price of a collection of artistic non-fungible tokens, namely, the “Bored Ape Yacht Club” (BAYC) collectibles, over the first year of their life, from May 2021 to May 2022. Taking a time-series analysis approach, we consider the daily average price, and other variants of daily price index, derived from hedonic regression model. Aesthetic features of the collectibles do matter. At the same time, the price series emerge to be non-stationary, integrated of order 1, with their first difference exhibiting heteroscedasticity and autoregressive variance. Models of ARCH/GARCH class are appropriate to describe the dynamics. Though the price series of BAYC collectibles and their daily movements share many characteristics with the series of financial assets, they do not appear to be related to financial variables from both the crypto- and the real (i.e., not crypto) world.本研究针对一组艺术品类非同质化代币（non-fungible tokens）——即“无聊猿游艇俱乐部（Bored Ape Yacht Club, BAYC）”藏品——在其上线后的首年（2021年5月至2022年5月）的每日价格走势展开分析。本研究采用时间序列分析方法，聚焦于由特征价格回归模型（hedonic regression model）推导得到的每日均价与其他形式的每日价格指数。该藏品的美学特征确实对价格存在显著影响。与此同时，该价格序列呈现非平稳性，为一阶单整序列，其一阶差分表现出异方差性与自回归方差特性。ARCH/GARCH类模型适用于刻画其价格动态变化。尽管BAYC藏品的价格序列及其每日价格波动与金融资产序列存在诸多共性，但二者似乎并未与加密领域及实体（非加密）领域的金融变量存在关联。