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

Log likelihood

2776.066

Test b[Adjustment:lambda1] = b[Adjustment:lambda2] = 0

Chi2

3.07

Lambda1

0.033

[0.023]