Variables | XRP | OIL | SP500 | GOLD | USD | LIBOR |
Cons | −0.006 | 0.001 | 0.002** | −0.00005 | 0.001 | 0.003*** |
[0.012] | [0.003] | [0.001] | [0.001] | [0.001] | [0.001] | |
L1.ARCH | 0.484*** | 0.086* | 0.216*** | 0.064 | 0.069* | 0.956*** |
[0.146] | [0.052] | [0.070] | [0.056] | [0.039] | [0.180] | |
L1.GARCH | −0.010 | 0.792*** | 0.721*** | −0.770** | 0.879*** | −0.005 |
[0.068] | [0.124] | [0.072] | [0.299] | [0.087] | [0.009] | |
Cons ARCH | 0.024*** | 0.0002 | 0.00002* | 0.001*** | 0.00006 | 0.00006*** |
[0.003] | [0.0002] | [0.00001] | [0.0001] | [0.00007] | [0.000008] | |
N | 203 |
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Log likelihood | 2776.066 |
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Test b[Adjustment:lambda1] = b[Adjustment:lambda2] = 0 | ||||||
Chi2 | 3.07 |
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Lambda1 | 0.033 |
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[0.023] |