Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Table 1.
Summary Statistics of Cryptocurrenciesand their Returns
| Summary | BNB | BTC | ETH | rBNB | rBTC | rETH | | Mean | 104.0238 | 18162.01 | 923.1750 | 0.001717 | 0.000353 | 0.000200 | | Median | 18.73643 | 9521.063 | 360.1694 | 0.001205 | 0.001675 | 0.001542 | | Maximum | 675.6841 | 67566.83 | 4812.087 | 0.410934 | 0.201579 | 0.209224 | | Minimum | 1.510360 | 3236.762 | 84.30830 | -0.721307 | -0.591585 | -0.734522 | | Std.Dev. | 175.5965 | 17499.02 | 1177.667 | 0.062741 | 0.042782 | 0.054573 | | Skewness | 1.778399 | 1.348357 | 1.698505 | -1.151836 | -1.939859 | -2.166098 | | Kurtosis | 4.693715 | 3.295788 | 4.691089 | 22.18069 | 28.89160 | 27.33470 | | Jarque-Bera | 979.0206 | 464.2778 | 908.3661 | 23527.52 | 43210.49 | 38515.04 | | Probability | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | | Sum | 157492.1 | 27497277 | 1397687. | 2.597853 | 0.534140 | 0.301986 | | SumSq.Dev. | 46652039 | 4634367 | 2109786 | 5.951886 | 2.767371 | 4.503064 | | Observations | 1514 | 1514 | 1514 | 1513 | 1513 | 1513 |
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