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Financial Innovation

Table 33 Ljung Box test on the standardized residuals (SR) of the VAR-DCC-GARCH model (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

Ljung-Box test on SR

Bitcoin

Gold

Nasdaq

S&P500

Dow Jones

Q(12)

7.020

9.58

9.281

9.48

8.253

P-value

0.8562

0.6521

0.6787

0.661

0.765

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