White-noise test in Excel

In this video, we demonstrate how to conduct a White Noise Test in Microsoft Excel with the help of a newly released version of NumXL - 1.58 BAJA.

NumXL is an add-in for Excel that greatly simplifies different calculations used in time series analysis.

Video script

Scene 1:

Hello and welcome to the NumXL white noise test tutorial. In this video we'll demonstrate how to run a white noise test with the help of a simple user interface available with a version 1.58 of NumXL. We'll be using the daily log returns of the S&P 500.

The first step is to select an empty cell in your worksheet, then click on the statistical testing button in the NumXL toolbar. Select the white noise test option.

Scene 2:

The function wizard pops, up for input data select your sample values, the output defaults to your selected cell in the worksheet. You may also choose a different significance level for the test. The default is 5%. Once your data has been selected, you can click on the options and the missing values tabs.

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Here you can pick the lag order range to test for. For our purposes we'll change the maximum lack order to 4.

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In the missing values tab you can pick what to do with the intermediate missing values if they are present in the data. You may now click OK.

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The white noise tests results are now in your worksheet.

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That is it for now, thank you for watching!

 

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