Explanation:

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

Q(m) = n(n + 2) \sum \left[ \frac{\rho_j^2}{n - j} \right]

In this case, time lag = 3

Thus,

Q(3) = 333(335)\left[ \frac{0.12^2}{332} + \frac{(-0.17)^2}{331} + \frac{(-0.09)^2}{330} \right] = 17.32

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Q.63 The following sample autocorrelation estimates are obtained using 333 data points:

Lag 1 2 3
Coefficient 0.12 -0.17 -0.09

The value of the Ljung Box Q-statistic is closest to:

Lag	1	2	3
Coefficient	0.12	-0.17	-0.09

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Last updated: May 21, 2026 at 04:19

17.32

-47.4

0.05

17.12

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Q.63 The following sample autocorrelation estimates are obtained using 333 data points: | Lag | 1 | 2 | 3 | |-----|-----|------|------| | Coefficient | 0.12 | -0.17 | -0.09 | The value of the Ljung Box Q-statistic is closest to: | Financial Risk Manager Part 1 Quiz - LeetQuiz

Financial Risk Manager Part 1

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Q.63 The following sample autocorrelation estimates are obtained using 333 data points: Lag123Coefficient0.12-0.17-0.09 The value of the Ljung Box Q-statistic is closest to:

Comments (0)

Q.63 The following sample autocorrelation estimates are obtained using 333 data points:

Lag 1 2 3
Coefficient 0.12 -0.17 -0.09

The value of the Ljung Box Q-statistic is closest to: