6
$\begingroup$

I have a time series of log-returns of a stock. I want to determine whether the time series is just white noise or if there are some other pattern. How to I use the definition of white noise to make a conclusion?

Improve this question
$\endgroup$
2
  • 1
    $\begingroup$ Can you add a graph of what your time series currently looks like, and its ACF? $\endgroup$
    – Jon
    Nov 1, 2017 at 19:56
  • $\begingroup$ anyway, financial time series implies "some other pattern" ,all the time. $\endgroup$
    – tagoma
    Nov 1, 2017 at 20:11

1 Answer 1

Reset to default
7
$\begingroup$

You want to look at an autocorrelation function (ACF) plot. If no lags are significantly correlated, then you basically have white noise or a MA(q) process aka moving average.

You can use this guide here to compare what your ACF plot looks like to determine if your time-series is "white noise" or not. Guide to ACF/PACF Plots

Also, feel free to browse through previous time-series related posts like:

  1. How to interpret ACF and PACF plots

  2. Help interpreting ACF- and PACF-plots

  3. Interpreting ACF and PACF Plot

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.