Table 24 Estimation of autocorrelation in the squared of the returns for Dow Jones (period 1)
Lagrange-multiplier test | Order | LM | p value |
|---|---|---|---|
[1,] | 4 | 171.9 | 0.00e + 00 |
[2,] | 8 | 76.5 | 7.11e−14 |
[3,] | 12 | 47.7 | 1.62e−06 |
[4,] | 16 | 30.1 | 1.16e−02 |
[5,] | 20 | 20.7 | 3.53e−01 |
[6,] | 24 | 12.5 | 9.62e−01 |