ad17171717
New Member
Hello,
I am trying to understand how to calculate the autocorrelation of an equity asset. I've attached a spreadsheet with monthly SPY values. I've calculated the arithmetic monthly returns and have run correlations for both the SPY price and returns. For the returns, the autocorrelation is weakly negative, while on price there is a strong positive correlation. Should I be calculating the autocorrelation of equities based on price or returns? Should I be using monthly, weekly or daily returns when computing autocorrelation? Am I using the correct excel function to compute autocorrelation? Thank you in advance for the help.
I am trying to understand how to calculate the autocorrelation of an equity asset. I've attached a spreadsheet with monthly SPY values. I've calculated the arithmetic monthly returns and have run correlations for both the SPY price and returns. For the returns, the autocorrelation is weakly negative, while on price there is a strong positive correlation. Should I be calculating the autocorrelation of equities based on price or returns? Should I be using monthly, weekly or daily returns when computing autocorrelation? Am I using the correct excel function to compute autocorrelation? Thank you in advance for the help.
