What do the Correlograms actually measure?
Posted: 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
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