I ran the Ljung-Box for a single series and find that the statistic is very high.
I am using 20 lags so the critical value is 31.4104 and the statistic is greater than that. So my conclusion is that the data is not independently distributed. I also test the squared residuals for the same series. Again I have high values. However, it is not clear to me how to interpret this last result? I am using R:
And tells me that when
squared.residuals = TRUE, then apply the test on the squared values to check for Autoregressive Conditional Heteroscedastic, ARCH, effects.
How can I interpret this test and the results?