Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Table 2.
Test for Stationarity
| | | Ethereum | Binance Coin | Bitcoin | | | | t-Statistic | t-Statistic | t-Statistic | | Augmented Dickey-Fuller test statistic | -42.87576 | -15.30034 | -40.21295 | | Test critical values: | 1% level | -3.434468 | -3.434482 | -3.434468 | | | 5% level | -2.863246 | -2.863252 | -2.863246 | | | 10% level | -2.567726 | -2.567730 | -2.567726 | | | Prob.* | 0.0001 | 0.0000 | 0.0000 |
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