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Financial Innovation

Table 22 Estimation of autocorrelation in the squared of the returns for Nasdaq (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

156.03

0.00e + 00

[2,]

8

55.70

1.09e−09

[3,]

12

31.95

7.78e−04

[4,]

16

19.90

1.76e−01

[5,]

20

12.75

8.51e−01

[6,]

24

9.22

9.95e−01

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