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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 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 |