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

Financial Innovation

Table 29 Estimation of autocorrelation in the squared of the returns for Dow Jones (period 2)

Lagrange-multiplier test	Order	LM	p value
[1,]	4	317.7	0.00e + 00
[2,]	8	121.7	0.00e + 00
[3,]	12	54.6	9.04e−08
[4,]	16	38.6	7.46e−04
[5,]	20	27.7	9.00e−02
[6,]	24	22.0	5.18e−01