Table 2 Summary of the selected models...

Table 2

Summary of the selected models

Assets	Mean specification	Model	Volatility specification	Model
SP500	ARMA (1,2)	$y_{t} = a_{0} + a_{1} y_{t - 1} + ε_{t} + b_{1} ε_{t - 1} + b_{2} ε_{t - 2}$	TGARCH(1,1)	$σ_{t}^{2} = C_{0} + α_{1} ε_{t - 1}^{2} + γ_{1} S_{t - 1} ε_{t - 1}^{2} + β_{1} σ_{t - 1}^{2}$
SSE	MA(5)	$y_{t} = a_{0} + b_{5} ε_{t - 5}$	GARCH(1,1)	$σ_{t}^{2} = C_{0} + α_{1} ε_{t - 1}^{2} + β_{1} σ_{t - 1}^{2}$
Bitcoin	MA(7)	$y_{t} = a_{0} + b_{7} ε_{t - 7}$	GARCH(1,1)	$σ_{t}^{2} = C_{0} + α_{1} ε_{t - 1}^{2} + β_{1} σ_{t - 1}^{2}$
Ether	ARMA((1,1)	$y_{t} = a_{0} + a_{1} y_{t - 1} + ε_{t} + b_{1} ε_{t - 1}$	GARCH(1,1)	$σ_{t}^{2} = C_{0} + α_{1} ε_{t - 1}^{2} + β_{1} σ_{t - 1}^{2}$
Tether	ARMA(1,1)	$y_{t} = a_{0} + a_{1} y_{t - 1} + ε_{t} + b_{1} ε_{t - 1}$	GARCH(1,1)	$σ_{t}^{2} = C_{0} + α_{1} ε_{t - 1}^{2} + β_{1} σ_{t - 1}^{2}$
TrueUSD	ARMA(1,1)	$y_{t} = a_{0} + a_{1} y_{t - 1} + ε_{t} + b_{1} ε_{t - 1}$	GARCH(1,1)	$σ_{t}^{2} = C_{0} + α_{1} ε_{t - 1}^{2} + β_{1} σ_{t - 1}^{2}$
Gold	ARMA(1,1)	$y_{t} = a_{0} + a_{1} y_{t - 1} + ε_{t} + b_{1} ε_{t - 1}$	TGARCH(1,1)	$σ_{t}^{2} = C_{0} + α_{1} ε_{t - 1}^{2} + γ_{1} S_{t - 1} ε_{t - 1}^{2} + β_{1} σ_{t - 1}^{2}$

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