Financial Risk Manager Part 1

The Box-Pierce Q-statistic is given by:

$Q_{BP} = n \sum \rho_k^2$

Where $n$ is the sample size and $\rho$ represents the autocorrelations.

Therefore, $Q_{BP} = 200(0.3^2 + (-0.15)^2 + (-0.10)^2) = 24.5$

Calculation breakdown:

• $0.3^2 = 0.09$
• $(-0.15)^2 = 0.0225$
• $(-0.10)^2 = 0.01$
• Sum = 0.09 + 0.0225 + 0.01 = 0.1225
• $Q_{BP} = 200 \times 0.1225 = 24.5$