Testing for Autocorrelation Using a Modified Box-Pierce Q Test.

This article investigates the finite-sample performance of a modified Box-Pierce Q statistic (Q*) for testing that financial time series are uncorrelated without assuming statistical independence. The finite-sample rejection probabilities of the Q* test under the null and its power are examined in experiments using time series generated by an MA (1) process where the errors are generated by a GARCH (1, 1) model and by a long memory stochastic volatility model. The tests are applied to daily currency returns.