| 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) |