α |
| 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) | NAGARCH (1, 1) | ALL-GARCH (1, 1) |
Bitcoin |
|
|
|
|
|
|
|
|
|
|
|
|
1% | LRUC | 0.305 | 0.000 | 0.305 | 0.000 | 0.000 | 0.305 | 0.000 | 0.000 | 0.000 | 1.122 | 0.000 |
| p-value | (0.581) | (1.000) | (0.581) | (1.000) | (1.000) | (0.581) | (1.000) | (1.000) | (1.000) | (0.290) | (1.000) |
| LRCC | 0.413 | 0.061 | 0.413 | 0.061 | 0.061 | 0.413 | 0.061 | 0.061 | 0.061 | 1.292 | 0.061 |
| p-value | (0.813) | (0.970) | (0.813) | (0.970) | (0.970) | (0.813) | (0.970) | (0.970) | (0.970) | (0.524) | (0.970) |
2.5% | LRUC | 0.775 | 0.033 | 2.350 | 2.350 | 0.033 | 0.775 | 0.035 | 0.033 | 0.330 | 4.622 | 0.289 |
| p-value | (0.379) | (0.855) | (0.125) | (0.125) | (0.855) | (0.379) | (0.852) | (0.855) | (0.566) | (0.032) | (0.591) |
| LRCC | 1.467 | 0.473 | 3.353 | 3.353 | 0.473 | 1.467 | 0.371 | 0.473 | 0.576 | 4.796 | 0.848 |
| p-value | (0.480) | (0.789) | (0.187) | (0.187) | (0.789) | (0.480) | (0.831) | (0.789) | (0.750) | (0.091) | (0.654) |
5% | LRUC | 4.847 | 1.596 | 3.025 | 3.889 | 1.039 | 4.847 | 1.596 | 3.025 | 1.039 | 3.025 | 2.259 |
| p-value | (0.028) | (0.207) | (0.082) | (0.049) | (0.308) | (0.028) | (0.207) | (0.082) | (0.308) | (0.082) | (0.133) |
| LRCC | 5.583 | 1.702 | 3.1169 | 3.951 | 1.082 | 5.583 | 1.666 | 3.169 | 3.479 | 3.169 | 2.406 |
| p-value | (0.061) | (0.427) | (0.205) | (0.139) | (0.582) | (0.061) | (0.435) | (0.205) | (0.176) | (0.205) | (0.300) |
Ethereum |
|
|
|
|
|
|
|
|
|
|
|
|
1 | LRUC | 1.122 | 1.122 | 1.122 | 1.122 | 0.305 | 1.122 | 0.305 | 1.122 | 1.122 | 1.122 | 1.122 |
| p-value | (0.290) | (0.290) | (0.290) | (0.290) | (0.581) | (0.290) | (0.581) | (0.290) | (0.290) | (0.290) | (0.290) |
| LRCC | 1.292 | 1.292 | 1.292 | 1.292 | 0.413 | 1.292 | 0.413 | 1.292 | 1.292 | 1.292 | 1.292 |
| p-value | (0.524) | (0.524) | (0.524) | (0.524) | (0.813) | (0.524) | (0.813) | (0.524) | (0.524) | (0.524) | (0.524) |
2.5% | LRUC | 2.350 | 1.468 | 2.350 | 3.405 | 1.468 | 2.350 | 0.775 | 1.468 | 0.775 | 2.350 | 0.775 |
| p-value | (0.125) | (0.226) | (0.125) | (0.065) | (0.226) | (0.125) | (0.379) | (0.226) | (0.379) | (0.125) | (0.379) |
| LRCC | 3.353 | 2.308 | 3.358 | 4.588 | 2.308 | 3.353 | 1.467 | 2.308 | 1.467 | 3.358 | 1.467 |
| p-value | (0.187) | (0.315) | (0.187) | (0.101) | (0.315) | (0.187) | (0.480) | (0.315) | (0.480) | (0.187) | (0.480) |
5% | LRUC | 3.889 | 2.259 | 3.015 | 7.033 | 2.259 | 3.025 | 2.259 | 3.889 | 3.025 | 3.025 | 4.847 |
| p-value | (0.049) | (0.133) | (0.082) | (0.008) | (0.133) | (0.082) | (0.133) | (0.049) | (0.082) | (0.082) | (0.028) |
| LRCC | 4.747 | 3.723 | 4.163 | 7.300 | 3.723 | 4.163 | 3.723 | 4.884 | 4.163 | 4.163 | 5.583 |
| p-value | (0.093) | (0.155) | (0.125) | (0.026) | (0.155) | (0.125) | (0.155) | (0.087) | (0.125) | (0.125) | (0.061) |