What do the Correlograms actually measure?

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Econoforecast
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What do the Correlograms actually measure?

Postby Econoforecast » Sun Apr 09, 2017 1:19 am

A quick question just to confirm I've got this right. Hopefully someone can confirm quick.

What do the Ljung Box Q-statistics actually measure, is it serial correlation or heteroskedasticity?
1) Q-statistics of raw Daily log returns = serial correlation
2) Q-statistics of raw Squared daily log returns = serial correlation

3) Q-statistics of residuals after OLS regression = serial correlation
4) Q^2 statistics (squared residuals) after OLS = heteroskedasticity test

5) Q-statistics of standardised residuals after GARCH estimation = serial correlation
6) Q^2 statistics of standardised squared residuals after GARCH estimation = heteroskedasticity test......

Is 1 to 6 correct? Thank you

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