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Financial Innovation

Table 21 Estimation of autocorrelation in the squared of the returns for gold (period 1)

From: The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models

Lagrange-multiplier test

Order

LM

p value

[1,]

4

65.17

4.63e−14

[2,]

8

29.24

1.31e−04

[3,]

12

18.33

7.42e−02

[4,]

16

12.77

6.20e−01

[5,]

20

9.56

9.63e−01

[6,]

24

7.34

9.99e−01

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