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Financial Innovation

Table 25 Estimation of autocorrelation in the squared of the returns for Bitcoin (period 2)

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

1711

0

[2,]

8

770

0

[3,]

12

495

0

[4,]

16

358

0

[5,]

20

279

0

[6,]

24

225

0

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