how to calculate stock autocorrelation on excel

“Then what is the impact if there is an autocorrelation, but we still force a regression analysis?” Impact, first and foremost, can lead to bias. Another possibility could be that you did not enter a variable that is actually important but did not include it in the model. This autocorrelation can occur when you are compiling the regression model specifications. But I will try to answer with a possible proxy. “What is the cause of autocorrelation?” Erm, this is a difficult question for me to answer. Thus, it may be said that the autocorrelation variable could be the observation/sample value for a certain period, which is strongly influenced by the observation/sample value in the previous period. For example, is there a correlation between the company’s profit in the 30th month and the company’s profit in the 29th month? Likewise, profit in the 29th month correlates with the company’s profit in the 28th month and so on. This autocorrelation test aims to find out whether there is a correlation between the residuals in period t and period t-1. The objective of this test was to determine regression unbiased estimation results. If your data has these characteristics and you choose an analysis tool using linear regression, you need to do the autocorrelation test. The data period can also vary it can be daily, monthly, quarterly, and yearly. The object is profit and measured in different monthly periods from 2010 to 2020. To make it clearer, I’ll give you an example-for example, the monthly profit of company XYZ from 2010 to 2020. The point is that the data has been collected for specific or other purposes. Then, secondary data already exists we can take it from official government data providers, companies, cooperatives, and others.

Generally, you can get this data from secondary data. Time series data is data with one object but measured over several periods. Before discussing the autocorrelation test, you need to know first that the autocorrelation test was conducted on time series, not cross-sectional data. On this occasion, I will discuss the autocorrelation test on time series data. The autocorrelation test is one of the assumptions of linear regression with the OLS method.

How to calculate stock autocorrelation on excel