Model | GARCH (1, 1) | EGARCH (1, 1) | GJR-GARCH (1, 1) | CS-GARCH (1, 1) | APARCH (1, 1) | IGARCH (1, 1) | TGARCH (1, 1) | AV- GARCH (1, 1) | NGARCH (1, 1) | NA-GARCH (1, 1) | ALL-GARCH (1, 1) |
95% level of significance | |||||||||||
Bitcoin | 8.0% | 6.7% | 7.3% | 7.7% | 6.3% | 8.0% | 6.7% | 7.3% | 6.3% | 7.3% | 7.0% |
Ethereum | 7.7% | 7.0% | 7.3% | 8.7% | 7.0% | 7.3% | 7.0% | 7.7% | 7.3% | 7.3% | 8.0% |
Monero | 9.0% | 9.3% | 9.0% | 9.3% | 9.3% | 9.0% | 9.0% | 9.0% | 9.0% | 8.7% | -- |
Litecoin | 10.3% | 7.3% | 10.0% | 9.0% | 7.7% | 10.3% | 8.0% | 7.0% | 4.7% | 10.0% | 7.0% |
Dash | 8.0% | 8.0% | 7.3% | 7.0% | 7.3% | 8.0% | 8.0% | 8.0% | 7.7% | -- | 8.3% |
Ripple | 7.0% | 6.0% | 7.3% | 6.7% | 6.7% | 5.3% | 28% | 28% | 6.0% | 6.7% | 8.3% |
Stellar | 7.0% | 7.0% | 7.3% | -- | 6.0% | 7.0% | 6.7% | 6.7% | 5.7% | 7.3% | 6.0% |
NEM | 9.0% | 9.0% | 8.7% | 8.0% | 9.3% | 8.7% | 9.3% | 9.0% | 9.0% | 9.0% | 10.0% |
97.5% level of significance | |||||||||||
Bitcoin | 3.3% | 2.7% | 4.0% | 4.0% | 2.7% | 3.3% | 2.3% | 2.7% | 2.0% | 4.7% | 2.7% |
Ethereum | 4.0% | 3.7% | 4.0% | 4.3% | 3.7% | 4.0% | 3.3% | 3.7% | 3.3% | 4.0% | 3.3% |
Monero | 5.3% | 5.3% | 5.3% | 5.3% | 5.7% | 5.3% | 5.0% | 6.0% | 5.3% | 5.0% | -- |
Litecoin | 3.7% | 2.7% | 4.7% | 3.7% | 1.7% | 3.7% | 3.0% | 2.3% | 0.7% | 6.7% | 3.0% |
Dash | 5.3% | 4.3% | 5.3% | 5.0% | 5.7% | 5.3% | 4.7% | 6.0% | 5.7% | -- | 6.3% |
Ripple | 3.3% | 3.3% | 3.3% | 3.3% | 3.0% | 2.3% | 24.3% | 24.7% | 2.7% | 3.0% | 4.0% |
Stellar | 3.3% | 3.0% | 3.3% | -- | 2.7% | 3.3% | 2.7% | 2.3% | 2.7% | 4.3% | 2.3% |
NEM | 4.3% | 3.7% | 4.3% | 3.3% | 3.7% | 3.3% | 3.7% | 4.0% | 3.0% | 4.3% | 4.7% |
99% level of significance | |||||||||||
Bitcoin | 1.3% | 1.0% | 1.3% | 1.0% | 1.0% | 1.3% | 1.0% | 1.0% | 1.0% | 1.7% | 1.0% |
Ethereum | 1.7% | 1.7% | 1.7% | 1.7% | 1.3% | 1.7% | 1.3% | 1.7% | 1.7% | 1.7% | 1.7% |
Monero | 1.3% | 1.0% | 1.3% | 1.3% | 1.3% | 1.3% | 0.7% | 2.0% | 1.3% | 1.7% | -- |
Litecoin | 1.0% | 0.7% | 1.7% | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | 0.3% | 2.7% | 1.7% |
Dash | 1.7% | 2.0% | 1.7% | 1.3% | 2.7% | 1.7% | 2.0% | 2.7% | 3.3% | -- | 4.0% |
Ripple | 1.0% | 0.7% | 1.0% | 0.7% | 0.7% | 0.3% | 19% | 19% | 0.7% | 1.0% | 1.3% |
Stellar | 2.0% | 1.3% | 2.0% | -- | 1.3% | 2.0% | 1.7% | 1.3% | 1.7% | 2.3% | 1.3% |
NEM | 1.7% | 1.0% | 1.7% | 1.0% | 1.3% | 1.7% | 0.7% | 1.7% | 1.7% | 1.7% | 2.0% |