Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models

Table 8.

ARIMA (2, 0, 1) Model Summary forETH-USD

Parameter

Estimate

Stnd. Error

T

P-value

AR(1)

0.162078

0.0696432

2.32727

0.019951

AR(2)

0.839387

0.0696575

12.0502

0.000000

MA(1)

-0.774221

0.081546

-9.49429

0.000000