Table 23 Estimation of autocorrelation in the squared of the returns for S&P500 (period 1)
Lagrange-multiplier test | Order | LM | p value |
|---|---|---|---|
[1,] | 4 | 224.6 | 0.00e + 00 |
[2,] | 8 | 86.4 | 6.66e−16 |
[3,] | 12 | 54.1 | 1.11e−07 |
[4,] | 16 | 28.4 | 1.90e−02 |
[5,] | 20 | 19.9 | 3.99e−01 |
[6,] | 24 | 13.1 | 9.49e−01 |