Month Closing Price Difference

Jan-2012 22.595
Feb-2012 22.134 -0.461 Closing Price
Mar-2012 24.655 2.521 70.000
Apr-2012 26.649 1.994
60.000
May-2012 26.303 -0.346
Jun-2012 27.787 1.484 50.000
Jul-2012 32.705 4.918
40.000
Aug-2012 29.745 -2.960
Sep-2012 26.741 -3.004 30.000
Oct-2012 24.852 -1.889
20.000
Nov-2012 28.050 3.198
Dec-2012 27.847 -0.203 10.000
Jan-2013 30.040 2.193
0.000
Feb-2013 29.680 -0.360 Jan-2012 Nov-2012 Sep-2013 Jul-2014 May-2015 Mar-2016 Jan-2
Mar-2013 30.139 0.459
Apr-2013 29.276 -0.863
May-2013 29.703 0.427 Difference
Jun-2013 30.017 0.314 20.000
Jul-2013 29.687 -0.330
Aug-2013 31.765 2.078 15.000

Sep-2013 33.788 2.023 10.000

Oct-2013 30.942 -2.846
Nov-2013 38.526 7.584 5.000
Dec-2013 34.099 -4.427
0.000
Jan-2014 36.414 2.315 Feb-2012 Jan-2013 Dec-2013 Nov-2014 Oct-2015 Sep-2016
Feb-2014 38.145 1.731 -5.000
Mar-2014 38.452 0.307
-10.000
Apr-2014 40.912 2.460
May-2014 47.695 6.783 -15.000
Jun-2014 48.767 1.072
Jul-2014 52.136 3.369 The runs test and the autocorrelations on the next two
Aug-2014 54.737 2.601 random. The first autocorrelation is significant, but just
Sep-2014 52.164 -2.573 which suggest that the time series is random.
Oct-2014 50.510 -1.654
Nov-2014 47.508 -3.002
Dec-2014 46.530 -0.978
Jan-2015 45.627 -0.903
Feb-2015 52.124 6.497
Mar-2015 51.467 -0.657
Apr-2015 52.337 0.870
May-2015 50.299 -2.038
Jun-2015 52.070 1.771
Jul-2015 47.721 -4.349
Aug-2015 41.781 -5.940
Sep-2015 43.058 1.277
Oct-2015 43.760 0.702
Nov-2015 48.426 4.666
Dec-2015 44.302 -4.124
Jan-2016 44.013 -0.289
Feb-2016 44.839 0.826
Mar-2016 45.542 0.703
Apr-2016 62.831 17.289
May-2016 52.882 -9.949
Jun-2016 61.619 8.737
Jul-2016 59.897 -1.722
Aug-2016 55.139 -4.758
Sep-2016 54.110 -1.029
Oct-2016 54.804 0.694
Nov-2016 47.262 -7.542
Dec-2016 47.577 0.315
Jan-2017 42.637 -4.940
Feb-2017 35.464 -7.173
Mar-2017 40.363 4.899
Apr-2017 38.061 -2.302
May-2017 37.557 -0.504
Jun-2017 34.061 -3.496
Jul-2017 34.806 0.745
Aug-2017 37.449 2.643
Sep-2017 30.897 -6.552
Oct-2017 37.746 6.849
Nov-2017 42.094 4.348
Dec-2017 48.391 6.297
Jan-2018 45.005 -3.386
Feb-2018 43.402 -1.603
Mar-2018 44.853 1.451
Apr-2018 53.947 9.094
Closing Price

Jul-2014 May-2015 Mar-2016 Jan-2017 Nov-2017

Difference

The mean of the differences is positive,

0.418, which means that there is a slight
upward drift (on average).

Nov-2014 Oct-2015 Sep-2016 Aug-2017

e autocorrelations on the next two sheets confirm that the differences are essentially
ocorrelation is significant, but just barely so, and the p-value for the runs test is large
he time series is random.
Differences Centered Series Lag Autocorrelation
-0.461 -0.879 1 -0.2435
2.521 2.103 2 0.1348
1.994 1.576 3 -0.0049
-0.346 -0.764 4 -0.0507
1.484 1.066 5 0.0696
4.918 4.500 6 0.0009
-2.96 -3.378 7 -0.0630
-3.004 -3.422 8 -0.0295
-1.889 -2.307 9 0.0496
3.198 2.780 10 -0.1728
-0.203 -0.621 11 -0.0334
2.193 1.775 12 -0.0554
-0.36 -0.778
0.459 0.041
-0.863 -1.281 n 76
0.427 0.009 standard error 1/sqrt(76) = 0.1147
0.314 -0.104 2 standard error 2*0.1147 = 0.2294
-0.33 -0.748
2.078 1.660
2.023 1.605 1) The first autocorrelation, lag 1 is significant since
-2.846 -3.264 2) Among the lag k versions only lag 1 correlations
7.584 7.166 being not correlated with the original residuals.
-4.427 -4.845 3) The acceptable number of lags in this data serie
2.315 1.897 However, it is also noteworthy to say that the lag 1
1.731 1.313 the larger lag k versions rarely shows significance in
0.307 -0.111 the above table of autocorrelations.
2.46 2.042 4) The DW-statistic = 2.430 could be an evidence o
6.783 6.365 5) The correlogram also suggest that among the 12
1.072 0.654 is found significant since its spikes exceeds the sign
3.369 2.951
2.601 2.183 https://www.youtube.com/watch?v=tSt2FKow83A
-2.573 -2.991
-1.654 -2.072
-3.002 -3.420
-0.978 -1.396
-0.903 -1.321
6.497 6.079
-0.657 -1.075
0.87 0.452
-2.038 -2.456
1.771 1.353
-4.349 -4.767
-5.94 -6.358
1.277 0.859
0.702 0.284
4.666 4.248
-4.124 -4.542
-0.289 -0.707
0.826 0.408
0.703 0.285
17.289 16.871
-9.949 -10.367
8.737 8.319
-1.722 -2.140
-4.758 -5.176
-1.029 -1.447
0.694 0.276
-7.542 -7.960
0.315 -0.103
-4.94 -5.358
-7.173 -7.591
4.899 4.481
-2.302 -2.720
-0.504 -0.922
-3.496 -3.914
0.745 0.327
2.643 2.225
-6.552 -6.970
6.849 6.431
4.348 3.930
6.297 5.879
-3.386 -3.804
-1.603 -2.021
1.451 1.033
9.094 8.676
 D-W statistic
2.430 Correlogram
0.2000
0.1500
0.1000
0.0500
0.0000
1 2 3 4 5 6 7 8 9 10 11 12
-0.0500
-0.1000
-0.1500
-0.2000
-0.2500
-0.3000
Lag

ation, lag 1 is significant since it is larger than the 2 standard error of 0.2294.
rsions only lag 1 correlations is found significant while the rest are still within the acceptable boundary of
with the original residuals.
mber of lags in this data series is 19 (25%*n), thus, the 12 lag k versions in this series is still justifiable.
teworthy to say that the lag 1 autocorrelation analysis is the most crucial since it is a typical scenario that
ns rarely shows significance in terms of lag k autocorrelations whioch can be attested by the values shown in
tocorrelations.
2.430 could be an evidence of no autocorrelation since it is approximately equal to the DW = 2.
so suggest that among the 12 lag versions of the original versions residuals, it was the lag 1 autocorrelation
nce its spikes exceeds the significance threshold .

.com/watch?v=tSt2FKow83A
able boundary of

till justifiable.
cal scenario that
the values shown in
W = 2.
g 1 autocorrelation
Series Centered Series Lag Autocorrelation D-W statistic
Err:502 1 Err:502 Err:502
Err:502 2 Err:502
Err:502 3 Err:502
Err:502 4 Err:502
Err:502 5 Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502 To calculate autocorrelations for a time series:
Err:502
1. Copy this sheet to your own data file.
Err:502
Err:502 2. Copy your time series to column A, starting in cell A2.
Err:502
3. Copy the formula in cell B2 down (as far down as the series). Each value in
Err:502 column B is the corresponding series value minus the mean of the series.
Err:502
Err:502 4. Enter as many lags below cell D3 as you like (usually not more than 25% of
the number of series values). The autocorrelations, the correlogram chart, and
Err:502 the Durbin-Watson statistic in cell G2 should update automatically.
Err:502
Err:502 5. Interpret whether autocorrelation exists.
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
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Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
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Err:502
 Correlogram
12.0000

10.0000

8.0000

6.0000

4.0000

2.0000

0.0000
1 2 3 4 5 6 7 8 9 10 11 12
Lag

ll A2.

s the series). Each value in

he mean of the series.

ally not more than 25% of

, the correlogram chart, and
e automatically.
Differences Start Run Runs test
-0.461 1 Cutoff value for defining runs 0.418027
2.521 1
1.994 0 # of observations 75
-0.346 1 # below (or equal to) cutoff 38
1.484 1 # above cutoff 37
4.918 0 # of runs (R) 42
-2.96 1
-3.004 0 Exp(R) 38.4933
-1.889 0 StDev(R) 4.3000
3.198 1 z-value 0.8155
-0.203 1 p-value for two-tailed test 0.4148
2.193 1
-0.36 1
0.459 1
-0.863 1
0.427 1
0.314 1
-0.33 0
Based on the number of crossing the centerline, 42 > 38, which may
2.078 1
may not be significant to assume nonrandomness of the data series.
reject the null hypothesis of randomness. Therefore, one may assum
2.023 0
significant. We may assume that the time series is random or noise. E
-2.846 1
7.584 1
-4.427 1
2.315 1
1.731 0
0.307 1
2.46 1
6.783 0
1.072 0
3.369 0
2.601 0
-2.573 1
-1.654 0
-3.002 0
-0.978 0
-0.903 0
6.497 1
-0.657 1
0.87 1
-2.038 1
1.771 1
-4.349 1
-5.94 0
1.277 1
0.702 0
4.666 0
-4.124 1
-0.289 0
0.826 1
0.703 0
17.289 0
-9.949 1
8.737 1
-1.722 1
-4.758 0
-1.029 0
0.694 1
-7.542 1
0.315 0
-4.94 0
-7.173 0
4.899 1
-2.302 1
-0.504 0
-3.496 0
0.745 1
2.643 0
-6.552 1
6.849 1
4.348 0
6.297 0
-3.386 1
-1.603 0
1.451 1
9.094 0
 0.418027 average

E (R)= 38

e, 42 > 38, which may indicate negative autocorrelations. However, a difference of 4

ness of the data series. Upon analyzing the p-value = 0.4148 > 0.05 suggests not to
refore, one may assume that the difference between 38 and 42 is really not
es is random or noise. Errors are independent of each other.
Series Start Run Runs test
1 Cutoff value for defining runs Err:502
Err:502 To implement t
# of observations 0
# below (or equal to) cutoff Err:502 1. Copy this she
# above cutoff Err:502 2. Copy your tim
# of runs (R) 1
3. Enter the des
consecutive seq
Exp(R) Err:502 cutoff value is u
StDev(R) Err:502 of the series or
z-value Err:502 formula, but yo
p-value for two-tailed test Err:502
4. Copy the form
All the formulas
p-value is evide

5. Then you can

Note: If a series
below the cutoff
value does not
the sequence 3
To implement the runs test for randomness:

1. Copy this sheet to your own data file.

2. Copy your time series data to column A, starting in cell A2.

3. Enter the desired cutoff value in cell E2. This defines a run, i.e., a
consecutive sequence above (or below) this value constitutes a run. The
cutoff value is usually the average of the series, but it could be the median
of the series or any other desired value. Cell E2 currently has an average
formula, but you can change it.

4. Copy the formula in cell B3 down column B (as far down as the series).
All the formulas in column E should update automatically. As usual, a small
p-value is evidence of nonrandomness.

5. Then you can delete this text box from your copy if you like.

Note: If a series value is exactly equal to the cutoff value, it is counted as

below the cutoff, i.e., it is included in the count in cell E5. However, such a
value does not break the current run. For example, if the cutoff value is 0,
the sequence 3, 0, 5 is a single run, as is the sequence -5, 0, -1.