table for calculating the first six autocorrelation coefficients and significance
Produces data table of autocorrelation coefficients rho and corresponding Q(6)-statistic for each column in R.
table.Autocorrelation(R, digits = 4)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
digits |
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.
Peter Carl
Lo, Andrew W. 2001. Risk Management for Hedge Funds: Introduction and Overview. SSRN eLibrary.
data(managers)
t(table.Autocorrelation(managers))
result = t(table.Autocorrelation(managers[,1:8]))
textplot(result, rmar = 0.8, cmar = 2, max.cex=.9, halign = "center",
valign = "top", row.valign="center", wrap.rownames=15,
wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Autocorrelation")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.