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Financial Innovation

Table 27 Estimation of autocorrelation in the squared of the returns for Nasdaq (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

277.2

0.00e + 00

[2,]

8

125.4

0.00e + 00

[3,]

12

71.4

6.57e−11

[4,]

16

52.0

5.62e−06

[5,]

20

36.6

8.87e−03

[6,]

24

27.6

2.29e−01

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