Table IV. Autocorrelations for raw and...

Table IV.

Autocorrelations for raw and absolute returns of both markets

Asset	Mean/median	${AC}_{r}^{1}$	${AC}_{r}^{2}$	${AC}_{r}^{3}$	${AC}_{\| r \|}^{1}$	${AC}_{\| r \|}^{20}$	${AC}_{\| r \|}^{50}$	${AC}_{\| r \|}^{100}$
r^X	Mean	0.09	0.07	0.07	0.32	0.22	0.13	0.07
r^X	Median	0.03	0.01	0.01	0.28	0.17	0.09	0.02
r^Z	Mean	0.03	0.01	0.01	0.27	0.17	0.08	0.02
r^Z	Median	0.03	0.01	0.01	0.28	0.17	0.08	0.02

Asset	Mean/median	${AC}_{r}^{1}$	${AC}_{r}^{2}$	${AC}_{r}^{3}$	${AC}_{\| r \|}^{1}$	${AC}_{\| r \|}^{20}$	${AC}_{\| r \|}^{50}$	${AC}_{\| r \|}^{100}$
r^X	Mean	0.09	0.07	0.07	0.32	0.22	0.13	0.07
Median	0.03	0.01	0.01	0.28	0.17	0.09	0.02
r^Z	Mean	0.03	0.01	0.01	0.27	0.17	0.08	0.02
Median	0.03	0.01	0.01	0.28	0.17	0.08	0.02

Notes:

The table displays the estimates of the mean and the median of the autocorrelation in raw returns, ${AC}_{r}^{ℓ}$ ⁠, for lags ℓ ∈ {1,2,3}, and the autocorrelation in absolute returns, ${AC}_{| r |}^{ℓ}$ ⁠,for lags ℓ ∈ {1,20,50,100}; computations are based on 1,000 time series, each containing 5,000 observations

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