EXAMPLE 13.5 Lag One and Two Autocorrelations for Disney Returns

Figure 13.9 shows the sample lag one and lag two autocorrelations, computed by Minitab. The output also provides the -values for testing the null hypothesis that the population correlation is 0. We find for each autocorrelation, the associated -value is not significant at the 5% level of significance. Thus, for either lag, there is not strong enough evidence to reject the null hypothesis of underlying correlation of 0.