Estimation results of logarithmic yield of bitcoin and the blockchain index by GARCH-class model
| Parameters | Bitcoin GARCH-class model | Blockchain index GARCH-class model | ||||
|---|---|---|---|---|---|---|
| GARCH | E-GARCH | T-GARCH | GARCH | E-GARCH | T-GARCH | |
| Const(ω) | 0.000*** (0.000) | −0.860*** (0.067) | 0.000*** (0.000) | 0.000*** (0.000) | −0.221***(0.034) | 0.000*** (0.000) |
| ARCH(α) | 0.150*** (0.014) | 0.303*** (0.020) | 0.145*** (0.018) | 0.063*** (0.009) | 0.139*** (0.018) | 0.054*** (0.010) |
| GARCH(β) | 0.788*** (0.015) | 0.899*** (0.009) | 0.785*** (0.016) | 0.921*** (0.010) | 0.984*** (0.004) | 0.917*** (0.010) |
| E-GARCH(δ) | – | −0.030*** (0.012) | – | – | −0.033***(0.010) | – |
| T-GARCH(γ) | – | – | 0.010 (0.020) | – | – | 0.029**(0.013) |
| LL | 2,456.616 | 2,467.650 | 2,456.662 | 3,055.453 | 3,067.586 | 3,057.114 |
| AIC | −3.676 | −3.691 | −3.674 | −4.573 | −4.590 | −4.574 |
| HQ | −3.671 | −3.685 | −3.669 | −4.569 | −4.584 | −4.568 |
| Parameters | Bitcoin GARCH-class model | Blockchain index GARCH-class model | ||||
|---|---|---|---|---|---|---|
| GARCH | E-GARCH | T-GARCH | GARCH | E-GARCH | T-GARCH | |
| Const(ω) | 0.000*** (0.000) | −0.860*** (0.067) | 0.000*** (0.000) | 0.000*** (0.000) | −0.221***(0.034) | 0.000*** (0.000) |
| ARCH(α) | 0.150*** (0.014) | 0.303*** (0.020) | 0.145*** (0.018) | 0.063*** (0.009) | 0.139*** (0.018) | 0.054*** (0.010) |
| GARCH(β) | 0.788*** (0.015) | 0.899*** (0.009) | 0.785*** (0.016) | 0.921*** (0.010) | 0.984*** (0.004) | 0.917*** (0.010) |
| E-GARCH(δ) | – | −0.030*** (0.012) | – | – | −0.033***(0.010) | – |
| T-GARCH(γ) | – | – | 0.010 (0.020) | – | – | 0.029**(0.013) |
| LL | 2,456.616 | 2,467.650 | 2,456.662 | 3,055.453 | 3,067.586 | 3,057.114 |
| AIC | −3.676 | −3.691 | −3.674 | −4.573 | −4.590 | −4.574 |
| HQ | −3.671 | −3.685 | −3.669 | −4.569 | −4.584 | −4.568 |
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