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

Future Business Journal

Table 4 ARCH, GARCH and EGARCH models forecast results

	ARCH (1)	ARCH (2)	ARCH (3)	GARCH (1,1)	GARCH (1,2)
C	0.005720	0.007297	0.007210	0.005828	0.005848
Ɵ1	0.932688	1.080.169	1.089.076	0.610510	0.610576
Ɵ2	− 0.515757	− 0.652587	− 0.647935	− 0.925314	− 0.926474
φ1	− 0.973332	− 1.103.220	− 1.119.591	− 0.612437	− 0.611955
φ2	0.598896	0.722064	0.720196	0.947975	0.948839
ω	0.009080	0.155794	0.006141	0.001147	0.001100
α	0.253701	0.183899	0.166212	0.196003	0.181672
β		0.432484	0.318186	0.716033	0.903755
γ			0.053515		− 0.169018
Akaike info criterion	− 1.596.814	− 1.596.814	− 1.646.406	− 1.724.458	− 1.719.377
Schwarz criterion	− 1.515.684	− 1.515.684	− 1.542.095	− 1.631.738	− 1.615.066
Hannan–Quinn criter.	− 1.564.442	− 1.564.442	− 1.604.784	− 1.687.461	− 1.677.756
Durbin–Watson stat.	2.031.371	2.031.371	2.048.640	2.107.864	2.108.853

	GARCH (1,3)	GARCH (2,1)	GARCH (2,2)	EGARCH (1,1)	EGARCH (1,2)
C	0.005706	0.007297	0.007266	0.008382	0.009037
Ɵ1	0.610257	1.080.169	1.085.014	1.065.849	0.261344
Ɵ2	− 0.953563	− 0.652587	− 0.677699	− 0.646230	− 0.892373
φ1	− 0.616998	− 1.103.220	− 1.114.328	− 1.084.083	− 0.268463
φ2	0.976040	0.722064	0.750366	0.712109	0.979715
ω	0.202820	0.003077	0.162719	− 0.866121	− 1.047.696
α	1.057.449	0.155794	0.265304	0.343801	0.447054
β	− 0.779683	0.183899	0.100971	0.016852	− 0.013109
γ	0.448112	0.432484	0.210256	0.866892	0.947965
Akaike info criterion	− 1.720.201	− 1.650.739	− 1.647.606	− 1.708.610	− 1.684.218
Schwarz criterion	− 1.604.300	− 1.546.428	− 1.531.705	− 1.604.299	− 1.568.317
Hannan–Quinn criter.	− 1.673.955	− 1.609.118	− 1.601.360	− 1.666.988	− 1.637.972
Durbin–Watson stat.	2.090.906	2.063.984	2.052.077	2.073.688	2.076.747