Produces data table of autocorrelation coefficients rho and corresponding Q(6)-statistic for each column in R.
table.Autocorrelation(R, digits = 4)
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
number of digits to round results to for display
To test returns for autocorrelation, Lo (2001) suggests the use of the
Ljung-Box test, a significance test for the auto-correlation coefficients.
Ljung and Box (1978) provide a refinement of the Q-statistic proposed by Box
and Pierce (1970) that offers a better fit for the chi^2 test
for small sample sizes.
Box.test provides both.
Lo, Andrew W. 2001. Risk Management for Hedge Funds: Introduction and Overview. SSRN eLibrary.
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