Skip to content

Testing serial correlation of logreturns

1 message · Leigh E. Lommen

#
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