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Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Universal Journal of Finance and Economics
| Vol 2, Issue 1
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 |