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Table 2 Unit root test at I (0) level of logarithmic returns of bitcoin price movements

From: Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models

 

None

Constant

Constant and trend

ADF test statistic

− 19.01228***

− 19.04361***

− 19.02500***

1% critical value

− 2.572031

− 3.450099

− 3.986284

5% critical value

− 1.941793

− 2.870137

− 3.423585

10% critical value

− 1.616052

− 2.571420

− 3.134762

  1. According to MacKinnon (1996) one side p values *,** and*** indicate statistical significance at the 10%, 5% and 1% levels, respectively. Maximum lags is (32)
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