Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Table 4.
ARCH/GARCH Model Parameter Estimates forthe Returns Binance Coin
| Parameter | ARCH | GARCH(1) | EGARCH | TGRACH | PARCH | CGARCH | IGARCH | | Constant (C) | 1.98E-05 (6.47E-06) | 0.000159 (4.43E-05) | -0.342320 (0.067066) | 0.000117 (3.38E-05) | 0.000450 (0.000445) | 0.005435 (0.004045) | 0.080603 (0.008103) | | Intercept (βo) | 3.313563 (0.266065) | 3.551616 (0.344165) | 3.564080 (0.337255) | 3.596805 (0.342196) | 3.602737 (0.342894) | 3.643569 (0.345275) | 4.275472 (0.292226) | | ARCH term (β1) | 0.993055 (0.002233) | 0.150742 (0.031092) | 0.232379 (0.035186) | 0.162147 (0.037854) | -0.134404 (0.082577) | 0.984114 (0.012591) | 0.080603 (0.008103) | | GARCH term (α1) | | 0.824465 (0.026455) | 0.026342 (0.021160) | -0.079305 (0.036838) | 0.874756 (0.020204) | 0.089453 (0.032567) | 0.919397 (0.008103) | | Γ | | | 0.968686 (0.009395) | 0.857998 (0.021971) | 1.481660 (0.327102) | 0.120283 (0.047456) | | | D | | | | | 1.0000 | | | | Ø | | | | | | 0.593812 (0.176767) | | | β1 + α1 | | 0.97520 | 0.25872 | 0.08284 | 0.74035 | 1.07356 | 1.0000 | | µ | | 0.001717 | 0.001717 | 0.001717 | 0.001717 | 0.001717 | 0.001717 | | Log L | 2346.576 | 2419.554 | 2422.215 | 2422.274 | 2423.152 | 2423.720 | 2398.784 | | AIC | -3.097919 | -3.193065 | -3.195261 | -3.195339 | -3.195178 | -3.195929 | -3.168254 | | SC | -3.087367 | -3.178995 | -3.177673 | -3.177752 | -3.174074 | -3.174824 | -3.161219 | | Observed | 1513 | 1513 | 1513 | 1513 | 1513 | 1513 | 1513 | Note: Numbers in parenthesis indicates standard error
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Note: Numbers in parenthesis indicates standard error |
