α

5%

1%

Tails:

Left Tail

Right Tail

Left Tail

Right Tail

BTC

GARCH

3.294

0.060

0.336

2.369

CC: p-value

(0.193)

(0.970)

(0.845)

(0.306)

EGARCH

1.874

0.060

0.336

2.369

CC: p-value

(0.392)

(0.097)

(0.845)

(0.306)

APARCH

1.874

2.396

0.336

4.817

CC: p-value

(0.392)

(0.302)

(0.845)

(0.090)

NGARCH

1.874

2.469

0.336

4.817

CC: p-value

(0.392)

(0.291)

(0.845)

(0.090)

GARCH-EVT

6.728

2.469

0.101

2.369

CC: p-value

**

(0.306)

(0.951)

(0.291)

ETH

GARCH

0.615

3.897

0.282

0.336

CC: p-value

(0.735)

(0.142)

(0.869)

(0.845)

EGARCH

0.615

3.296

4.480

0.101

CC: p-value

(0.735)

(0.192)

(0.106)

(0.951)

APARCH

0.426

2.778

4.480

0.282

CC: p-value

(0.808)

(0.249)

(0.106)

(0.869)

NGARCH

0.615

3.296

5.679

0.101

CC: p-value

(0.735)

(0.192)

(0.058)

(0.951)

GARCH-EVT

0.426

3.133

0.979

0.336

CC: p-value

(0.808)

(0.209)

(0.613)

(0.845)

XRP

GARCH

3.347

3.624

0.282

0.282

CC: p-value

(0.188)

(0.163)

(0.869)

(0.869)

EGARCH

1.750

0.727

2.369

0.282

CC: p-value

(0.417)

(0.695)

(0.306)

(0.869)

APARCH

1.334

1.176

2.369

0.282

CC: p-value

(0.513)

(0.555)

(0.306)

(0.869)

NGARCH

1.334

1.176

2.369

0.282

CC: p-value

(0.513)

(0.555)

(0.306)

(0.869)

GARCH-EVT

0.066

4.221

0.101

0.282

CC: p-value

(0.967)

(0.121)

(0.951)

(0.869)

LTC

GARCH

0.060

3.294

0.336

0.282

CC: p-value

(0.970)

(0.193)

(0.845)

(0.869)

EGARCH

2.424

2.453

5.915

0.979

CC: p-value

(0.298)

(0.293)

(0.052)

(0.613)

APARCH

2.638

0.727

4.323

0.282

CC: p-value

(0.267)

(0.695)

(0.115)

(0.869)

NGARCH

0.060

3.294

2.943

0.979

CC: p-value

(0.970)

(0.193)

(0.230)

(0.613)

GARCH-EVT

2.469

9.329

0.918

2.369

CC: p-value

(0.291)

**

(0.632)

(0.306)

XMR

GARCH

0.344

3.255

0.282

1.799

CC: p-value

(0.842)

(0.196)

(0.869)

(0.407)

EGARCH

0.066

2.396

0.979

1.799

CC: p-value

(0.967)

(0.302)

(0.613)

(0.407)

APARCH

0.395

0.426

0.979

0.918

CC: p-value

(0.821)

(0.808)

(0.613)

(0.632)

NGARCH

2.557

0.366

0.979

1.799

CC: p-value

(0.279)

(0.833)

(0.613)

(0.407)

GARCH-EVT

4.220

2.469

0.282

2.943

CC: p-value

(0.121)

(0.291)

(0.869)

(0.229)

XLM

GARCH

2.557

2.797

0.282

0.336

CC: p-value

(0.279)

(0.247)

(0.869)

(0.845)

EGARCH

0.395

0.727

0.282

0.282

CC: p-value

(0.821)

(0.695)

(0.869)

(0.869)

APARCH

0.177

0.066

0.101

0.101

CC: p-value

(0.915)

(0.967)

(0.951)

(0.951)

NGARCH

0.426

0.177

0.101

0.101

CC: p-value

(0.808)

(0.915)

(0.951)

(0.951)

GARCH-EVT

4.223

3.624

0.918

0.282

CC: p-value

(0.121)

(0.163)

(0.632)

(0.869)

DASH

GARCH

4.221

2.901

--

0.282

CC: p-value

(0.121)

(0.234)

--

(0.869)

EGARCH

4.221

0.060

--

0.282

CC: p-value

(0.121)

(0.970)

--

(0.869)

APARCH

3.624

0.060

--

0.101

CC: p-value

(0.163)

(0.970)

--

(0.951)

NGARCH

4.221

0.060

--

0.282

CC: p-value

(0.121)

(0.970)

--

(0.869)

GARCH-EVT

2.797

2.424

--

0.282

CC: p-value

(0.247)

(0.297)

--

(0.869)

USTD

GARCH

22.024

16.631

23.788

0.336

CC: p-value

**

**

**

(0.845)

EGARCH

21.493

12.552

3.805

0.101

CC: p-value

**

**

(0.149)

(0.951)

APARCH

21.344

19.051

9.760

0.918

CC: p-value

**

**

**

(0.632)

NGARCH

21.344

19.051

9.813

0.918

CC: p-value

**

**

**

(0.632)

GARCH-EVT

42.759

37.001

--

2.369

CC: p-value

**

**

--

(0.306)