Financial Risk Manager Part 1
Get started today
Ultimate access to all questions.
Comments
Loading comments...
Ultimate access to all questions.
For a certain time series, you have produced a correlogram with an autocorrelation function that includes twenty four monthly observations; . Your calculated Box-Pierce Q-statistic is 19.50 and your calculated Ljung-Box Q-statistic is 27.90. You want to determine if the series is white noise. Which is your best conclusion (given CHISQ.INV(0.95, 24) = 36.41)?
A
With 95% confidence, you accept the series as white noise (more accurately, you fail to reject the null).
B
With 95% confidence, you accept the series as partial white noise (due to Box-Pierce) but reject the null (due to Ljung-Box).
C
With 95% confidence, you reject both null hypotheses and conclude the series is not white noise.
D
With 95% confidence, you reject both null hypotheses but conclude the series is white noise.