Financial Risk Manager Part 1

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The following sample autocorrelation estimates are obtained using 200 data points:

Lag	1	2	3
Coefficient	0.3	-0.15	-0.10

Compute the value of the Box-Pierce Q-statistic.

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NNikitesh

Last updated: February 2, 2026 at 10:22

12.6

28.0

18.2

24.5

Explanation:

The Box-Pierce Q-statistic is given by: Q_BP = nΣρ_k²

Where n is the sample size and ρ represents the autocorrelations.

Therefore, Q_BP = 200(0.3² + (-0.15)² + (-0.10)²) = 200(0.09 + 0.0225 + 0.01) = 200(0.1225) = 24.5

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