Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Table 3.
Heteroskedasticity Test: ARCH
| Ethereum | | F-statistic | 2.795259 | Prob.F(1,1510) | 0.0948 | | Obs*R-squared | 2.793789 | Prob.Chi-Square(1) | 0.0946 | | BinanceCoin | | F-statistic | 24.40139 | Prob.F(1,1510) | 0.0000 | | Obs*R-squared | 24.04514 | Prob.Chi-Square(1) | 0.0000 | | Bitcoin | | F-statistic | 2.376380 | Prob.F(1,1510) | 0.1234 | | Obs*R-squared | 2.375788 | Prob.Chi-Square(1) | 0.1232 |
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