|
| 5% | 1% | ||
| Tails: | Left Tail | Right Tail | Left Tail | Right Tail |
| BTC | ||||
| GARCH | 3.4% | 5.0% | 1.2% | 0.4% |
| UC: p -value | (0.082) | (1.000) | (0.663) | (0.125) |
| EGARCH | 4.2% | 5.0% | 1.2% | 0.4% |
| UC: p-value | (0.399) | (1.000) | (0.663) | (0.125) |
| APARCH | 4.2% | 4.6% | 1.2% | 0.2% |
| UC: p-value | (0.399) | (0.678) | (0.663) | ** |
| NGARCH | 4.2% | 4.8% | 1.2% | 0.2% |
| UC: p-value | (0.399) | (0.836) | (0.663) | ** |
| GARCH-EVT | 2.8% | 4.8% | 1.0% | 0.4% |
| UC: p-value | ** | (0.836) | (1.000) | (0.125) |
| ETH | ||||
| GARCH | 4.8% | 7.0% | 0.8% | 1.2% |
| UC: p-value | (0.836) | (0.052) | (0.641) | (0.663) |
| EGARCH | 4.8% | 6.8% | 1.0% | 1.0% |
| UC: p-value | (0.386) | (0.079) | (1.000) | (1.000) |
| APARCH | 5.0% | 6.6% | 1.0% | 0.8% |
| UC: p-value | (1.000) | (0.117) | (1.000) | (0.641) |
| NGARCH | 4.8% | 6.8% | 0.8% | 1.0% |
| UC: p-value | (0.836) | (0.079) | (0.641) | (1.000) |
| GARCH-EVT | 5.0% | 6.8% | 0.6% | 1.2% |
| UC: p-value | (1.000) | (0.079) | (0.331) | (0.663) |
| XRP | ||||
| GARCH | 3.8% | 3.6% | 0.8% | 0.8% |
| UC: p-value | (0.199) | (0.131) | (0.641) | (0.641) |
| EGARCH | 3.8% | 4.2% | 0.4% | 0.8% |
| UC: p-value | (0.199) | (0.399) | (0.125) | (0.641) |
| APARCH | 4.4% | 4.0% | 0.4% | 0.8% |
| UC: p-value | (0.530) | (0.288) | (0.125) | (0.641) |
| NGARCH | 4.4% | 4.0% | 0.4% | 0.8% |
| UC: p-value | (0.530) | (0.288) | (0.125) | (0.641) |
| GARCH-EVT | 4.8% | 3.4% | 1.0% | 0.8% |
| UC: p-value | (0.836) | (0.082) | (1.000) | (0.641) |
| LTC | ||||
| GARCH | 5.0% | 3.4% | 1.2% | 0.8% |
| UC: p-value | (1.000) | (0.082) | (0.663) | (0.641) |
| EGARCH | 4.4% | 3.6% | 2.2% | 0.6% |
| UC: p-value | (0.530) | (0.131) | ** | (0.331) |
| APARCH | 5.0% | 4.2% | 2.0% | 0.8% |
| UC: p-value | (1.000) | (0.399) | ** | (0.641) |
| NGARCH | 5.0% | 3.4% | 1.8% | 0.6% |
| UC: p-value | (1.000) | (0.082) | (0.106) | (0.331) |
| GARCH-EVT | 4.8% | 2.4% | 1.4% | 0.4% |
| UC: p-value | (0.836) | ** | (0.397) | (0.125) |
| XMR | ||||
| GARCH | 5.2% | 5.4% | 0.8% | 1.6% |
| UC: p -value | (0.838) | (0.685) | (0.641) | (0.215) |
| EGARCH | 4.8% | 4.6% | 0.6% | 1.6% |
| UC: p-value | (0.836) | (0.678) | (0.331) | (0.215) |
| APARCH | 4.4% | 5.0% | 0.6% | 1.4% |
| UC: p-value | (0.530) | (1.000) | (0.331) | (0.397) |
| NGARCH | 4.2% | 5.4% | 0.6% | 1.6% |
| UC: p-value | (0.399) | (0.685) | (0.331) | (0.215) |
| GARCH-EVT | 3.4% | 4.8% | 0.8% | 1.8% |
| UC: p-value | (0.082) | (0.836) | (0.641) | (0.106) |
| XLM | ||||
| GARCH | 4.2% | 4.0% | 0.8% | 1.2% |
| UC: p -value | (0.399) | (0.288) | (0.641) | (0.663) |
| EGARCH | 4.4% | 4.2% | 0.8% | 0.8% |
| UC: p-value | (0.530) | (0.399) | (0.641) | (0.641) |
| APARCH | 4.6% | 4.8% | 1.0% | 1.0% |
| UC: p-value | (0.678) | (0.836) | (1.000) | (1.000) |
| NGARCH | 5.0% | 4.6% | 1.0% | 1.0% |
| UC: p-value | (1.000) | (0.678) | (1.000) | (1.000) |
| GARCH-EVT | 5.8% | 3.6% | 1.4% | 0.8% |
| UC: p-value | (0.423) | (0.131) | (0.397) | (0.641) |
| DASH | ||||
| GARCH | 3.4% | 5.2% | -- | 0.8% |
| UC: p -value | (0.082) | (0.838) | -- | (0.641) |
| EGARCH | 3.5% | 5.0% | -- | 0.8% |
| UC: p-value | (0.082) | (1.000) | -- | (0.641) |
| APARCH | 3.6% | 5.0% | -- | 1.0% |
| UC: p-value | (0.131) | (1.000) | -- | (1.000) |
| NGARCH | 3.4% | 5.0% | -- | 0.8% |
| UC: p-value | (0.082) | (1.000) | -- | (0.641) |
| GARCH-EVT | 4.0% | 4.4% | -- | 0.8% |
| UC: p-value | (0.288) | (0.530) | -- | (0.641) |
| USTD | ||||
| GARCH | 3.6% | 1.6% | 2.6% | 1.2% |
| UC: p -value | (0.131) | ** | ** | (0.663) |
| EGARCH | 2.2% | 2.0% | 1.4% | 1.0% |
| UC: p-value | ** | ** | (0.397) | (1.000) |
| APARCH | 1.8% | 1.4% | 1.6% | 1.4% |
| UC: p-value | ** | ** | (0.215) | (0.397) |
| NGARCH | 1.8% | 1.4% | 1.8% | 1.4% |
| UC: p-value | ** | ** | (0.106) | (0.397) |
| GARCH-EVT | 0.2% | 0.4% | -- | 0.4% |
| UC: p-value | ** | ** | -- | (0.125) |