Suppose we fit a VAR model to the six time series simultaneously. At the 0.05 significance level, a 0.03 p-value corresponding to the multivariate Ljung-Box Q(m) statistic test applied to the residuals means that...

a) There is no lead-lag relationship among the time series.

b) We cannnot reject the null hypothesis of a lead-lag relationships in the residuals.

c) There is statistically significant contemporaneous correlation in the model residuals.

d) The residuals are significantly non-normal.