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)