| Bitcoin | Ethereum | Monero | Litecoin | Dash | Ripple | Stellar | NEM |
α | 0.001958 | 0.001771 | 0.001546 | 0.001203 | 0.002788 | 0:001548 | 0:000520 | 0.001481 |
| (0.024787) | (0.041057) | (0.378756) | (0.104764) | (0.050867) | (0.011039) | (0.676378) | (0.438475) |
ω | 0.000013 | 0.000220 | 0.000397 | 0.000580 | 0.000101 | 0.000031 | 0.000000 | 0.000153 |
| (0.00028) | (0.03340) | (0.004456) | (0.048486) | (0.026018) | (0.221990) | (0.361084) | (0.150275) |
α1 | 0.145588 | 0.035488 | 0.260066 | 0.209287 | 0.171916 | 0.226872 | 0.26754 | 0.374642 |
| (0.00000) | (0.00000) | (0.00000) | (0.000002) | (0.000050) | (0.001339) | (0.000001) | (0.042643) |
β1 | 0.854412 | 0.944190 | 0.739934 | 0.868738 | 0.828084 | 0.103973 | 0.484999 | 0.896461 |
| (NA) | (0.00000) | (NA) | (0.00000) | (NA) | (0.000066) | (0.000002) | (0.00000) |
γ | - | - | - | −0.312124 | - |
|
|
|
|
|
|
| (0.011762) |
|
|
|
|
d | - | - | - | - | - | 0.302758 |
| 1.000000 |
|
|
|
|
|
| (0.00000) |
| (0.002696) |
δ | - | 0.999516 |
|
|
|
| 0.999936 |
|
|
| (0.00000) |
|
|
|
| (0.00000) |
|
f | - | 0.271006 | - | - | - |
| 0.023251 |
|
|
| (0.000014) |
|
|
|
| (0.00000) |
|
α1 + β1 | 1 | 0.979678 | 1 | 1.078025 | 1 | 0.33079326 | 0.752539 | 1.645745 |
Skew | 0.969862 | 1.092519 | 1.091389 | 0.116474 | 0.372318 | 1.116250 | 0.316974 | 0.176591 |
| (0.00000) | (0.00000) | (0.00000) | (0.012925) | (0.000334) | (0.00000) | (0.000023) | (0.023133) |
Shape | 0.923403 | 0.992872 | 3.336433 | 0.928236 | 1.391832 | 0.807481 | 1.172223 | 1.237510 |
| (0.00000) | (0.00000) | (0.00000) | (0.00000) | (0.00000) | (0.00000) | (0.00000) | (0.00000) |
ARCH-LM test for heteroscedasticity | ||||||||
Statistic | 2.376 | 2.463 | 3.5232 | 0.16112 | 0.40051 | 0.19493 | 0.39728 | 0.7637 |
| (0.6381) | (0.6201) | (0.4206) | (0.9982) | (0.9865) | (0.9972) | (0.9867) | (0.9487) |