Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Table 6.
Serial Correlation Tests on the Best FitVolatility Models
| | CGARCH (1,1) | | Lag | AC | PAC | Q-Stat | Prob* | | 1 | 0.013 | 0.013 | 0.2678 | 0.605 | | 2 | 0.028 | 0.028 | 1.4953 | 0.473 | | 3 | 0.021 | 0.020 | 2.1624 | 0.539 | | 4 | 0.036 | 0.035 | 4.1224 | 0.390 | | 5 | -0.012 | -0.014 | 4.3431 | 0.501 | | 6 | 0.025 | 0.023 | 5.2676 | 0.510 | | 7 | -0.018 | -0.019 | 5.7563 | 0.568 | | 8 | 0.003 | 0.001 | 5.7664 | 0.673 | | 9 | 0.005 | 0.006 | 5.7988 | 0.760 | | 10 | 0.056 | 0.055 | 10.583 | 0.391 |
|
|
