Message-ID: <D2B4F3C1AFAF674C95C57B48F7968CFAB8744F@Courtesy-fs2.COURTESYCORP.COM>
Date: 2010-07-11T23:32:21Z
From: Leigh E. Lommen
Subject: Testing serial correlation of logreturns
If I am testing for serial correlation in log returns in R for lags from
1 to 10 is the following the correct syntax?
x<-1:10
Box.test(log_returns,lag = x, type = "Ljung") #assuming my
log_returns are ln(S_t/S_t-1)
Thanks in advance.
L's