Table 28 Estimation of autocorrelation in the squared of the returns for S&P500 (period 2)
Lagrange-multiplier test | Order | LM | p value |
|---|---|---|---|
[1,] | 4 | 289.8 | 0.00e + 00 |
[2,] | 8 | 121.8 | 0.00e + 00 |
[3,] | 12 | 60.6 | 7.31e−09 |
[4,] | 16 | 43.8 | 1.18e−04 |
[5,] | 20 | 30.5 | 4.54e−02 |
[6,] | 24 | 24.3 | 3.87e−01 |