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Financial Innovation

Table 32 Ljung Box test on the standardized residuals (SR) of the VAR-DCC-GARCH model (period 1)

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

Ljung-Box test on SR

Bitcoin

Gold

Nasdaq*

S&P500

Dow Jones

Q(12)

7.793

14.91

13.969

5.917

8.174

P-value

0.8011

0.2464

0.0825

0.9202

0.7714

  1. *For the Nasdaq, results concern the Q(8) Statistics
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