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Financial Innovation

Table 20 Estimation of autocorrelation in the squared of the returns for Bitcoin (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

173.4

0.00e + 00

[2,]

8

77.6

4.23e−14

[3,]

12

46.7

2.39e−06

[4,]

16

27.8

2.27e−02

[5,]

20

20.9

3.41e−01

[6,]

24

11.3

9.80e−01

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