Table 4 Autocorrelations Series: Closing... | Emerald Publishing

Table 4

Autocorrelations

Series: Closing Price_Diff
Lag	Autocorrelation	Std. Error^a	Box–Ljung Statistic
Lag	Autocorrelation	Std. Error^a	Value	Df	Sig.^b
1	0.002	0.100	0.000	1	0.983
2	−0.078	0.099	0.611	2	0.737
3	0.015	0.099	0.634	3	0.889
4	−0.082	0.098	1.328	4	0.857
5	−0.174	0.098	4.497	5	0.480
6	0.013	0.097	4.513	6	0.608
7	0.241	0.097	10.728	7	0.151
8	−0.048	0.096	10.972	8	0.203
9	0.002	0.096	10.972	9	0.278
10	0.038	0.095	11.135	10	0.347
11	−0.104	0.095	12.339	11	0.339
12	−0.163	0.094	15.347	12	0.223
13	0.054	0.094	15.685	13	0.267
14	0.006	0.093	15.689	14	0.333
15	−0.039	0.092	15.871	15	0.391
16	0.086	0.092	16.757	16	0.401

Series: Closing Price_Diff
Lag	Autocorrelation	Std. Error^a	Box–Ljung Statistic
Lag	Autocorrelation	Std. Error^a	Value	Df	Sig.^b
1	0.002	0.100	0.000	1	0.983
2	−0.078	0.099	0.611	2	0.737
3	0.015	0.099	0.634	3	0.889
4	−0.082	0.098	1.328	4	0.857
5	−0.174	0.098	4.497	5	0.480
6	0.013	0.097	4.513	6	0.608
7	0.241	0.097	10.728	7	0.151
8	−0.048	0.096	10.972	8	0.203
9	0.002	0.096	10.972	9	0.278
10	0.038	0.095	11.135	10	0.347
11	−0.104	0.095	12.339	11	0.339
12	−0.163	0.094	15.347	12	0.223
13	0.054	0.094	15.685	13	0.267
14	0.006	0.093	15.689	14	0.333
15	−0.039	0.092	15.871	15	0.391
16	0.086	0.092	16.757	16	0.401

Note(s):

a

The underlying process assumed is independence (white noise)

b

Based on the asymptotic chi-square approximation