The plot below shows the autocorrelation (ACF) and partial autocorrelation (PACF) functions of VXX returns. It’s interesting to note that VXX returns are positively auto-correlated at 3-day lag.

The PLOT option produces plots of the autocorrelation function, inverse autocorrelation function, and partial autocorrelation function for the residual series of the regression on PRICE and INCOME.

In this paper a single 'unified' method is presented, based on the computation of autocorrelation functions and a completely parametric representation of the various components in the flow model. This ...

An extended sample autocorrelation function based on these consistent estimates is then defined and used for order determination. One of the advantages of this new approach is that it eliminates the ...