Table 26 Estimation of autocorrelation in the squared of the returns for gold (period 2)
Lagrange-multiplier test | order | LM | p value |
|---|---|---|---|
[1,] | 4 | 647.2 | 0.00e + 00 |
[2,] | 8 | 165.7 | 0.00e + 00 |
[3,] | 12 | 106.2 | 0.00e + 00 |
[4,] | 16 | 71.7 | 2.23e−09 |
[5,] | 20 | 56.1 | 1.57e−05 |
[6,] | 24 | 44.7 | 4.35e−03 |