j is an empty list, but you're attempting to write to element [0] in the first iteration, which doesn't exist yet.
Try the following instead, to add a new element to the end of the list:
for l in i:
    j.append(l)
Of course, you'd never do this in practice if all you wanted to do was to copy an existing list. You'd just do:
j = list(i)
Alternatively, if you wanted to use the Python list like an array in other languages, then you could pre-create a list with its elements set to a null value (None in the example below), and later, overwrite the values in specific positions:
i = [1, 2, 3, 5, 8, 13]
j = [None] * len(i)
#j == [None, None, None, None, None, None]
k = 0
for l in i:
   j[k] = l
   k += 1
The thing to realise is that a list object will not allow you to assign a value to an index that doesn't exist.