Explanation:

The Ljung Box statistic, also known as the modified Box Pierce statistic, is a function of the accumulated autocorrelations, $\rho_i$ up to time lag $m$ . It's calculated as:

Q(m) = n(n + 2)\sum_{i=1}^{m} \left(\frac{\rho_i^2}{n - i}\right)

In this case, time lag = 3

Thus,

Q(3) = 250 \times 252\left(\frac{0.3^2}{249}\right) + 250 \times 252\left(\frac{-0.15^2}{248}\right) + 250 \times 252\left(\frac{-0.1^2}{247}\right) = 31.04

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The following sample autocorrelation estimates are obtained using 250 data points: | Lag | 1 | 2 | 3 | |-----|-----|------|------| | Coefficient | 0.3 | -0.15 | -0.10 | Compute the value of the Ljung Box Q statistic. | Financial Risk Manager Part 1 Quiz - LeetQuiz

The following sample autocorrelation estimates are obtained using 250 data points:

Lag 1 2 3
Coefficient 0.3 -0.15 -0.10

Compute the value of the Ljung Box Q statistic.

Lag	1	2	3
Coefficient	0.3	-0.15	-0.10

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NNikitesh

Last updated: February 2, 2026 at 10:22

16.7%

31.04

50.0%

16.7%

Financial Risk Manager Part 1

Comments (0)

The following sample autocorrelation estimates are obtained using 250 data points: Lag123Coefficient0.3-0.15-0.10 Compute the value of the Ljung Box Q statistic.

Comments (0)

The following sample autocorrelation estimates are obtained using 250 data points:

Lag 1 2 3
Coefficient 0.3 -0.15 -0.10

Compute the value of the Ljung Box Q statistic.