Exercise Solution 4.17

The Ljung and Box test statistic


is approximately centrally chi-squared with h degrees of freedom: S ~ χ2(h,0), assuming . Accordingly, a significance level 0.05 non-rejection region for  will be the set of values s less than the 0.95 quantile of S. In this case, h = 3. The 0.95 quantile of a χ2(3,0) distribution is 7.81 (in Microsoft Excel, this can be obtained with formula  =chisq.inv(0.95,3) ). Based on α = 250 and the three sample autocorrelations 0.085, –0.027 and 0.109, test statistic [4.49] is evaluated as 5.02. This is less than 7.81, so the null hypothesis is not rejected at the 0.05 significance level.



Enter your address for insights that will transform your risk management.

Click the link in the email I just sent you to confirm your address and start your subscription.

Defining Risk

Enter your email address to receive your copy and subscribe to Glyn's Risk Management Newsletter.

Click the link in the email I just sent you to download your paper and start your subscription.