Marks and Spencers

MarksandSpencer

Autocorrelations
Series: MarksandSpencer

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b

1 .986 .062 256.558 1 .000

2 .967 .061 504.613 2 .000
3 .949 .061 744.211 3 .000
4 .931 .061 975.650 4 .000
5 .916 .061 1200.562 5 .000
6 .904 .061 1420.312 6 .000
7 .891 .061 1634.838 7 .000
8 .877 .061 1843.370 8 .000
9 .862 .061 2045.663 9 .000
10 .847 .060 2241.975 10 .000
11 .833 .060 2432.558 11 .000
12 .820 .060 2617.854 12 .000
13 .809 .060 2799.021 13 .000
14 .799 .060 2976.323 14 .000
15 .787 .060 3149.056 15 .000
16 .775 .060 3317.517 16 .000

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: MarksandSpencer

Lag Partial Std. Error

Autocorrelation

1 .986 .062
2 -.153 .062
3 .007 .062
4 .002 .062
5 .099 .062
6 .057 .062
7 -.037 .062
8 -.062 .062
9 -.004 .062
10 .026 .062
11 .003 .062
12 .005 .062
13 .066 .062
14 -.004 .062
15 -.061 .062
16 .037 .062

returnsmarks
 Autocorrelations
Series: returnsmarks

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b

1 .193 .062 9.748 1 .002

2 -.115 .062 13.268 2 .001
3 -.092 .061 15.531 3 .001
4 -.103 .061 18.329 4 .001
5 -.105 .061 21.301 5 .001
6 .037 .061 21.661 6 .001
7 .106 .061 24.667 7 .001
8 .082 .061 26.470 8 .001
9 -.013 .061 26.519 9 .002
10 -.111 .061 29.904 10 .001
11 -.110 .060 33.211 11 .000
12 -.140 .060 38.630 12 .000
13 -.005 .060 38.636 13 .000
14 .112 .060 42.104 14 .000
15 -.005 .060 42.112 15 .000
16 .047 .060 42.732 16 .000

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: returnsmarks

Lag Partial Std. Error

Autocorrelation

1 .193 .062
2 -.158 .062
3 -.039 .062
4 -.099 .062
5 -.088 .062
6 .050 .062
7 .055 .062
8 .045 .062
9 -.030 .062
10 -.088 .062
11 -.056 .062
12 -.127 .062
13 .019 .062
14 .046 .062
15 -.091 .062
16 .070 .062
Barclays

Model Description

Model Name MOD_2

1 Barclays
Series Name
2 returnsbarclays
Transformation None
Non-Seasonal Differencing 0
Seasonal Differencing 0
Length of Seasonal Period No periodicity
Maximum Number of Lags 16
Process Assumed for Calculating the Standard Errors of the Independence(white
Autocorrelations noise)a
Display and Plot All lags

Applying the model specifications from MOD_2

a. Not applicable for calculating the standard errors of the partial autocorrelations.

Case Processing Summary

Barclays returnsbarclays

Series Length 261 261

User-Missing 0 0
Number of Missing Values
System-Missing 0 1a
Number of Valid Values 261 260
Number of Computable First Lags 260 259

a. Some of the missing values are imbedded within the series.

Barclays

Autocorrelations
Series: Barclays

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b
1 .982 .062 254.398 1 .000
2 .960 .061 498.621 2 .000
3 .939 .061 733.157 3 .000
4 .919 .061 958.729 4 .000
5 .901 .061 1176.525 5 .000
6 .885 .061 1387.357 6 .000
7 .867 .061 1590.692 7 .000
8 .850 .061 1786.490 8 .000
9 .832 .061 1974.977 9 .000
10 .816 .060 2156.967 10 .000
11 .799 .060 2332.070 11 .000
12 .781 .060 2500.405 12 .000
13 .764 .060 2661.758 13 .000
14 .746 .060 2816.291 14 .000
15 .731 .060 2965.333 15 .000
16 .715 .060 3108.716 16 .000

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: Barclays

Lag Partial Std. Error

Autocorrelation

1 .982 .062
2 -.100 .062
3 .015 .062
4 .017 .062
5 .045 .062
6 .023 .062
7 -.049 .062
8 -.007 .062
9 .001 .062
10 .034 .062
11 -.050 .062
12 -.004 .062
13 -.029 .062
14 .001 .062
15 .070 .062
16 -.048 .062

returnsbarclays
 Autocorrelations
Series: returnsbarclays

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b

1 .132 .062 4.591 1 .032

2 -.124 .062 8.645 2 .013
3 -.065 .061 9.762 3 .021
4 -.113 .061 13.158 4 .011
5 -.051 .061 13.862 5 .017
6 .047 .061 14.449 6 .025
7 .042 .061 14.917 7 .037
8 .031 .061 15.172 8 .056
9 -.016 .061 15.239 9 .085
10 .012 .061 15.281 10 .122
11 -.024 .060 15.441 11 .163
12 -.022 .060 15.572 12 .212
13 .019 .060 15.670 13 .267
14 -.084 .060 17.606 14 .225
15 .014 .060 17.658 15 .281
16 .040 .060 18.101 16 .318

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: returnsbarclays

Lag Partial Std. Error

Autocorrelation

1 .132 .062
2 -.144 .062
3 -.028 .062
4 -.122 .062
5 -.032 .062
6 .026 .062
7 .011 .062
8 .019 .062
9 -.024 .062
10 .034 .062
11 -.027 .062
12 -.004 .062
13 .014 .062
14 -.099 .062
15 .044 .062
16 .001 .062
British American tobacco

Model Description

Model Name MOD_3

1 Britishamericantobacco
Series Name
2 returnsbritish
Transformation None
Non-Seasonal Differencing 0
Seasonal Differencing 0
Length of Seasonal Period No periodicity
Maximum Number of Lags 16
Process Assumed for Calculating the Standard Errors of the Independence(white
Autocorrelations noise)a
Display and Plot All lags

Applying the model specifications from MOD_3

a. Not applicable for calculating the standard errors of the partial autocorrelations.

Case Processing Summary

Britishamericanto returnsbritish
bacco

Series Length 261 261

User-Missing 0 0
Number of Missing Values
System-Missing 0 1a
Number of Valid Values 261 260
Number of Computable First Lags 260 259

a. Some of the missing values are imbedded within the series.

Britishamericantobacco

Autocorrelations
Series: Britishamericantobacco

Lag Autocorrelation Std. Errora Box-Ljung Statistic

 Value df Sig.b

1 .984 .062 255.846 1 .000

2 .968 .061 504.352 2 .000
3 .952 .061 745.624 3 .000
4 .936 .061 979.833 4 .000
5 .920 .061 1206.959 5 .000
6 .904 .061 1426.711 6 .000
7 .888 .061 1639.875 7 .000
8 .875 .061 1847.491 8 .000
9 .861 .061 2049.538 9 .000
10 .848 .060 2246.236 10 .000
11 .838 .060 2439.034 11 .000
12 .828 .060 2628.062 12 .000
13 .820 .060 2814.144 13 .000
14 .811 .060 2997.147 14 .000
15 .804 .060 3177.451 15 .000
16 .796 .060 3355.197 16 .000

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: Britishamericantobacco

Lag Partial Std. Error

Autocorrelation

1 .984 .062
2 -.024 .062
3 -.006 .062
4 -.002 .062
5 -.015 .062
6 -.033 .062
7 .039 .062
8 .056 .062
9 -.014 .062
10 .005 .062
11 .092 .062
12 -.005 .062
13 .051 .062
14 -.009 .062
15 .024 .062
16 .000 .062

returnsbritish
 Autocorrelations
Series: returnsbritish

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b

1 .091 .062 2.196 1 .138

2 -.005 .062 2.202 2 .333
3 .028 .061 2.408 3 .492
4 .036 .061 2.755 4 .600
5 .004 .061 2.758 5 .737
6 .013 .061 2.800 6 .833
7 -.103 .061 5.630 7 .584
8 -.017 .061 5.706 8 .680
9 -.033 .061 5.999 9 .740
10 -.118 .061 9.782 10 .460
11 -.045 .060 10.340 11 .500
12 -.085 .060 12.331 12 .419
13 -.005 .060 12.339 13 .500
14 -.035 .060 12.675 14 .552
15 -.013 .060 12.725 15 .624
16 -.043 .060 13.246 16 .655

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: returnsbritish

Lag Partial Std. Error

Autocorrelation

1 .091 .062
2 -.013 .062
3 .030 .062
4 .031 .062
5 -.002 .062
6 .012 .062
7 -.108 .062
8 .002 .062
9 -.035 .062
10 -.109 .062
11 -.018 .062
12 -.084 .062
13 .020 .062
14 -.042 .062
15 -.002 .062
16 -.041 .062
Glaxo Smithkline

Model Description

Model Name MOD_4

1 Glaxosmithkline
Series Name
2 returnsgsk
Transformation None
Non-Seasonal Differencing 0
Seasonal Differencing 0
Length of Seasonal Period No periodicity
Maximum Number of Lags 16
Process Assumed for Calculating the Standard Errors of the Independence(white
Autocorrelations noise)a
Display and Plot All lags

Applying the model specifications from MOD_4

a. Not applicable for calculating the standard errors of the partial autocorrelations.

Case Processing Summary

Glaxosmithkline returnsgsk

Series Length 261 261

User-Missing 0 0
Number of Missing Values
System-Missing 0 1a
Number of Valid Values 261 260
Number of Computable First Lags 260 259

a. Some of the missing values are imbedded within the series.

Glaxosmithkline

Autocorrelations
Series: Glaxosmithkline

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b
1 .981 .062 253.999 1 .000
2 .963 .061 499.849 2 .000
3 .948 .061 739.033 3 .000
4 .931 .061 970.519 4 .000
5 .911 .061 1193.292 5 .000
6 .892 .061 1407.458 6 .000
7 .874 .061 1613.735 7 .000
8 .856 .061 1812.353 8 .000
9 .838 .061 2003.453 9 .000
10 .818 .060 2186.482 10 .000
11 .802 .060 2363.076 11 .000
12 .786 .060 2533.203 12 .000
13 .773 .060 2698.599 13 .000
14 .762 .060 2860.035 14 .000
15 .751 .060 3017.458 15 .000
16 .740 .060 3170.691 16 .000

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: Glaxosmithkline

Lag Partial Std. Error

Autocorrelation

1 .981 .062
2 .028 .062
3 .065 .062
4 -.061 .062
5 -.068 .062
6 -.024 .062
7 .017 .062
8 .005 .062
9 .001 .062
10 -.050 .062
11 .073 .062
12 -.018 .062
13 .110 .062
14 .041 .062
15 -.001 .062
16 -.030 .062

returnsgsk
 Autocorrelations
Series: returnsgsk

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b

1 -.053 .062 .730 1 .393

2 -.104 .062 3.577 2 .167
3 .145 .061 9.133 3 .028
4 .067 .061 10.310 4 .036
5 -.001 .061 10.310 5 .067
6 -.042 .061 10.781 6 .095
7 -.024 .061 10.930 7 .142
8 .023 .061 11.077 8 .197
9 -.003 .061 11.079 9 .270
10 -.077 .061 12.697 10 .241
11 .006 .060 12.707 11 .313
12 -.180 .060 21.608 12 .042
13 -.069 .060 22.914 13 .043
14 -.051 .060 23.635 14 .051
15 .037 .060 24.020 15 .065
16 -.064 .060 25.154 16 .067

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: returnsgsk

Lag Partial Std. Error

Autocorrelation

1 -.053 .062
2 -.107 .062
3 .135 .062
4 .072 .062
5 .036 .062
6 -.048 .062
7 -.047 .062
8 .001 .062
9 .003 .062
10 -.060 .062
11 .001 .062
12 -.205 .062
13 -.079 .062
14 -.096 .062
15 .080 .062
16 -.033 .062
Unilever

Model Description

Model Name MOD_5

1 Unilever
Series Name
2 returnsunilever
Transformation None
Non-Seasonal Differencing 0
Seasonal Differencing 0
Length of Seasonal Period No periodicity
Maximum Number of Lags 16
Process Assumed for Calculating the Standard Errors of the Independence(white
Autocorrelations noise)a
Display and Plot All lags

Applying the model specifications from MOD_5

a. Not applicable for calculating the standard errors of the partial autocorrelations.

Case Processing Summary

Unilever returnsunilever

Series Length 261 261

User-Missing 0 0
Number of Missing Values
System-Missing 0 1a
Number of Valid Values 261 260
Number of Computable First Lags 260 259

a. Some of the missing values are imbedded within the series.

Unilever

Autocorrelations
Series: Unilever

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b
1 .981 .062 253.822 1 .000
2 .962 .061 499.068 2 .000
3 .945 .061 736.471 3 .000
4 .926 .061 965.519 4 .000
5 .906 .061 1185.645 5 .000
6 .885 .061 1396.536 6 .000
7 .864 .061 1598.356 7 .000
8 .848 .061 1793.581 8 .000
9 .832 .061 1982.168 9 .000
10 .816 .060 2164.250 10 .000
11 .804 .060 2341.874 11 .000
12 .793 .060 2515.304 12 .000
13 .785 .060 2686.066 13 .000
14 .779 .060 2854.723 14 .000
15 .772 .060 3021.155 15 .000
16 .766 .060 3185.576 16 .000

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: Unilever

Lag Partial Std. Error

Autocorrelation

1 .981 .062
2 .014 .062
3 .023 .062
4 -.039 .062
5 -.047 .062
6 -.039 .062
7 -.014 .062
8 .120 .062
9 -.007 .062
10 .003 .062
11 .100 .062
12 .003 .062
13 .085 .062
14 .027 .062
15 .002 .062
16 -.002 .062

returnsunilever
 Autocorrelations
Series: returnsunilever

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b

1 -.029 .062 .228 1 .633

2 -.041 .062 .672 2 .715
3 .085 .061 2.582 3 .461
4 .068 .061 3.797 4 .434
5 .033 .061 4.088 5 .537
6 .011 .061 4.120 6 .660
7 -.154 .061 10.479 7 .163
8 -.048 .061 11.096 8 .196
9 .011 .061 11.130 9 .267
10 -.037 .061 11.496 10 .320
11 -.042 .060 11.970 11 .366
12 -.128 .060 16.455 12 .171
13 -.093 .060 18.854 13 .128
14 .067 .060 20.115 14 .127
15 -.029 .060 20.350 15 .159
16 -.010 .060 20.378 16 .204

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: returnsunilever

Lag Partial Std. Error

Autocorrelation

1 -.029 .062
2 -.042 .062
3 .083 .062
4 .071 .062
5 .045 .062
6 .012 .062
7 -.164 .062
8 -.073 .062
9 -.013 .062
10 -.015 .062
11 -.008 .062
12 -.115 .062
13 -.101 .062
14 .036 .062
15 -.021 .062
16 .030 .062
Vodafone

Model Description

Model Name MOD_6

1 Vodafone
Series Name
2 returnsvoda
Transformation None
Non-Seasonal Differencing 0
Seasonal Differencing 0
Length of Seasonal Period No periodicity
Maximum Number of Lags 16
Process Assumed for Calculating the Standard Errors of the Independence(white
Autocorrelations noise)a
Display and Plot All lags

Applying the model specifications from MOD_6

a. Not applicable for calculating the standard errors of the partial autocorrelations.

Case Processing Summary

Vodafone returnsvoda

Series Length 261 261

User-Missing 0 0
Number of Missing Values
System-Missing 0 1a
Number of Valid Values 261 260
Number of Computable First Lags 260 259

a. Some of the missing values are imbedded within the series.

Vodafone

Autocorrelations
Series: Vodafone

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b
1 .916 .062 221.476 1 .000
2 .841 .061 408.961 2 .000
3 .777 .061 569.674 3 .000
4 .712 .061 705.085 4 .000
5 .657 .061 820.885 5 .000
6 .603 .061 918.704 6 .000
7 .546 .061 999.175 7 .000
8 .501 .061 1067.375 8 .000
9 .460 .061 1125.039 9 .000
10 .412 .060 1171.399 10 .000
11 .375 .060 1209.919 11 .000
12 .344 .060 1242.545 12 .000
13 .309 .060 1269.003 13 .000
14 .273 .060 1289.645 14 .000
15 .246 .060 1306.491 15 .000
16 .233 .060 1321.747 16 .000

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: Vodafone

Lag Partial Std. Error

Autocorrelation

1 .916 .062
2 .014 .062
3 .030 .062
4 -.037 .062
5 .030 .062
6 -.024 .062
7 -.043 .062
8 .042 .062
9 -.002 .062
10 -.061 .062
11 .033 .062
12 .023 .062
13 -.037 .062
14 -.042 .062
15 .041 .062
16 .081 .062

returnsvoda
 Autocorrelations
Series: returnsvoda

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b

1 -.069 .062 1.260 1 .262

2 -.040 .062 1.678 2 .432
3 .024 .061 1.837 3 .607
4 -.059 .061 2.773 4 .597
5 -.028 .061 2.984 5 .702
6 .032 .061 3.261 6 .775
7 -.079 .061 4.932 7 .668
8 -.051 .061 5.648 8 .687
9 .016 .061 5.721 9 .768
10 -.036 .061 6.072 10 .809
11 -.046 .060 6.642 11 .827
12 .038 .060 7.038 12 .855
13 -.005 .060 7.044 13 .900
14 -.034 .060 7.366 14 .920
15 -.003 .060 7.368 15 .947
16 -.005 .060 7.374 16 .965

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: returnsvoda

Lag Partial Std. Error

Autocorrelation

1 -.069 .062
2 -.045 .062
3 .019 .062
4 -.058 .062
5 -.035 .062
6 .023 .062
7 -.076 .062
8 -.064 .062
9 -.003 .062
10 -.036 .062
11 -.058 .062
12 .015 .062
13 -.004 .062
14 -.041 .062
15 -.028 .062
16 -.011 .062
Rio tinto

Model Description

Model Name MOD_7

1 Riotinto
Series Name
2 returnsrio
Transformation None
Non-Seasonal Differencing 0
Seasonal Differencing 0
Length of Seasonal Period No periodicity
Maximum Number of Lags 16
Process Assumed for Calculating the Standard Errors of the Independence(white
Autocorrelations noise)a
Display and Plot All lags

Applying the model specifications from MOD_7

a. Not applicable for calculating the standard errors of the partial autocorrelations.

Case Processing Summary

Riotinto returnsrio

Series Length 261 261

User-Missing 0 0
Number of Missing Values
System-Missing 0 1a
Number of Valid Values 261 260
Number of Computable First Lags 260 259

a. Some of the missing values are imbedded within the series.

Riotinto

Autocorrelations
Series: Riotinto

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b
1 .970 .062 248.533 1 .000
2 .939 .061 482.304 2 .000
3 .912 .061 703.726 3 .000
4 .885 .061 912.930 4 .000
5 .860 .061 1111.412 5 .000
6 .833 .061 1298.260 6 .000
7 .803 .061 1472.693 7 .000
8 .776 .061 1635.929 8 .000
9 .751 .061 1789.374 9 .000
10 .723 .060 1932.163 10 .000
11 .692 .060 2063.515 11 .000
12 .664 .060 2185.211 12 .000
13 .635 .060 2296.815 13 .000
14 .608 .060 2399.612 14 .000
15 .587 .060 2495.898 15 .000
16 .565 .060 2585.494 16 .000

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: Riotinto

Lag Partial Std. Error

Autocorrelation

1 .970 .062
2 -.037 .062
3 .055 .062
4 -.023 .062
5 .035 .062
6 -.061 .062
7 -.049 .062
8 .013 .062
9 .026 .062
10 -.065 .062
11 -.061 .062
12 .047 .062
13 -.061 .062
14 .029 .062
15 .077 .062
16 -.016 .062

returnsrio
 Autocorrelations
Series: returnsrio

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b

1 -.027 .062 .185 1 .667

2 -.065 .062 1.313 2 .519
3 .045 .061 1.851 3 .604
4 -.088 .061 3.899 4 .420
5 .012 .061 3.937 5 .559
6 .084 .061 5.843 6 .441
7 .002 .061 5.845 7 .558
8 -.063 .061 6.915 8 .546
9 .085 .061 8.871 9 .449
10 .114 .061 12.392 10 .260
11 -.119 .060 16.292 11 .131
12 .088 .060 18.440 12 .103
13 -.055 .060 19.266 13 .115
14 -.167 .060 27.006 14 .019
15 -.002 .060 27.008 15 .029
16 -.043 .060 27.523 16 .036

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: returnsrio

Lag Partial Std. Error

Autocorrelation

1 -.027 .062
2 -.066 .062
3 .042 .062
4 -.090 .062
5 .014 .062
6 .072 .062
7 .015 .062
8 -.062 .062
9 .081 .062
10 .126 .062
11 -.105 .062
12 .079 .062
13 -.060 .062
14 -.133 .062
15 -.058 .062
16 -.065 .062
Diageo

Model Description

Model Name MOD_8

1 Diageo
Series Name
2 returnsdiageo
Transformation None
Non-Seasonal Differencing 0
Seasonal Differencing 0
Length of Seasonal Period No periodicity
Maximum Number of Lags 16
Process Assumed for Calculating the Standard Errors of the Independence(white
Autocorrelations noise)a
Display and Plot All lags

Applying the model specifications from MOD_8

a. Not applicable for calculating the standard errors of the partial autocorrelations.

Case Processing Summary

Diageo returnsdiageo

Series Length 261 261

User-Missing 0 0
Number of Missing Values
System-Missing 0 1a
Number of Valid Values 261 260
Number of Computable First Lags 260 259

a. Some of the missing values are imbedded within the series.

Diageo

Autocorrelations
Series: Diageo

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b
1 .975 .062 250.991 1 .000
2 .949 .061 489.758 2 .000
3 .923 .061 716.597 3 .000
4 .895 .061 930.511 4 .000
5 .865 .061 1131.104 5 .000
6 .833 .061 1317.918 6 .000
7 .802 .061 1491.927 7 .000
8 .775 .061 1654.798 8 .000
9 .750 .061 1807.980 9 .000
10 .725 .060 1951.863 10 .000
11 .706 .060 2088.682 11 .000
12 .688 .060 2219.244 12 .000
13 .677 .060 2346.175 13 .000
14 .669 .060 2470.433 14 .000
15 .661 .060 2592.376 15 .000
16 .652 .060 2711.611 16 .000

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: Diageo

Lag Partial Std. Error

Autocorrelation

1 .975 .062
2 -.031 .062
3 -.012 .062
4 -.067 .062
5 -.045 .062
6 -.054 .062
7 .011 .062
8 .046 .062
9 .044 .062
10 -.009 .062
11 .084 .062
12 .009 .062
13 .120 .062
14 .029 .062
15 .011 .062
16 -.046 .062

returnsdiageo
 Autocorrelations
Series: returnsdiageo

Lag Autocorrelation Std. Errora Box-Ljung Statistic

Value df Sig.b

1 .005 .062 .006 1 .938

2 .008 .062 .024 2 .988
3 .145 .061 5.614 3 .132
4 -.016 .061 5.682 4 .224
5 .065 .061 6.802 5 .236
6 -.036 .061 7.156 6 .307
7 -.069 .061 8.435 7 .296
8 -.075 .061 9.943 8 .269
9 -.027 .061 10.145 9 .339
10 -.036 .061 10.489 10 .399
11 -.071 .060 11.881 11 .373
12 -.089 .060 14.035 12 .298
13 -.071 .060 15.413 13 .282
14 -.020 .060 15.522 14 .343
15 .078 .060 17.234 15 .305
16 -.032 .060 17.521 16 .353

a. The underlying process assumed is independence (white noise).

b. Based on the asymptotic chi-square approximation.
 Partial Autocorrelations
Series: returnsdiageo

Lag Partial Std. Error

Autocorrelation

1 .005 .062
2 .008 .062
3 .145 .062
4 -.018 .062
5 .064 .062
6 -.060 .062
7 -.065 .062
8 -.096 .062
9 -.011 .062
10 -.022 .062
11 -.043 .062
12 -.081 .062
13 -.061 .062
14 -.015 .062
15 .097 .062
16 -.019 .062