| BTC | ETH | ADA | BNB | USDT |
ARFIMA(p,d,q) | (0,0,2) | (5,0,2) | (4,0,3) | (0,0,2) | (4,0,5) |
Mu | 0.0016 | 0.0016 | −0.0007 | 0.0006 | 0.0000 |
Ar1 |
| 0.8072 | −2.0801 |
| 1.7149 |
Ar2 |
| 0.1815 | −2.1549 |
| −1.2856 |
Ar3 |
| −0.0306 | −1.1547 |
| 0.4075 |
Ar4 |
| −0.0028 | −0.0955 |
| 0.1123 |
Ar5 |
| 0.0195 |
|
|
|
Ma1 | −0.1061 | −0.9235 | 2.0099 | −0.1044 | −2.1258 |
Ma2 | 0.0042 | −0.0430 | 2.0204 | 0.0293 | 1.8624 |
Ma3 |
|
| 1.0001 |
| −0.7519 |
Ma4 |
|
|
|
| −0.0848 |
Ma5 |
|
|
|
| 0.1075 |
Omega | −0.1162 | −0.3122 | −0.3192 | −0.1606 | −0.1794 |
Alpha | 0.0291 | 0.0132 | −0.0201 | 0.0233 | −0.0308 |
Beta | 0.9827 | 0.9469 | 0.9438 | 0.9727 | 0.9855 |
Gamma | 0.2214 | 0.2322 | 0.1949 | 0.2213 | 0.3546 |
Skew | 0.9999 | 1.0474 | 0.9780 | 0.9913 | 1.0213 |
Shape | 0.8246 | 0.8933 | 1.0407 | 0.9678 | 0.8971 |
Log-Likelihood | 3871.1180 | 2932.0530 | 1706.6890 | 1930.2270 | 6756.6570 |
Akaike | −4.0977 | −3.2137 | −2.9311 | −3.1835 | −9.5274 |
Bayes | −4.0713 | −3.1713 | −2.8698 | −3.1455 | −9.4680 |
Shibata | −4.0978 | −3.2138 | −2.9314 | −3.1836 | −9.5277 |
Hannan-Quinn | −4.0880 | −3.1981 | −2.9080 | −3.1692 | −9.5052 |
ARCH(5) | 1.8384 | 5.0727 | 1.6356 | 7.5175 | 0.3391 |
(0.5081) | (0.0989) | (0.5574) | (0.0262) | (0.9297) | |
Ljung-Box | 0.0551 | 0.1718 | 0.0057 | 0.2705 | 0.3087 |
(0.8144) | (0.6785) | (0.9396) | (0.6030) | (0.5785) | |
Nyblom | 3.2989 | 2.3118 | 1.4958 | 1.7605 | 4.3008 |
Sign Bias | 1.1766 | 0.9289 | 0.8062 | 1.8177 | 0.6616 |
(0.2395) | (0.3531) | (0.4203) | (0.0694) | (0.5084) | |
Goodness Fit | 0.0020 | 0.2039 | 0.4518 | 0.0074 | 0.0090 |