Correlogram Analysis in Excel

Brief tutorial for conducting a correlogram analysis for your time series in Excel using NumXL functions and wizards.

Video script

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Module 4: correlogram analysis. In this module we will show how NumXL can provide correlogram analysis.

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For this module I will use the same spider log returns as in module 2. Let's begin with our analysis. Switch to the NumXL toolbar tab or menu and click on the correlogram analysis icon.

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Select the cells range of the sample data in our workbook.

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You will also need to specify how your data has been chronologically ordered. Since our sample data is sorted so that the oldest entries are at the top, I can leave the ascending checkbox checked.

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Next, in the ACF section check the ACF option and edit the maximum lag order in our analysis. By default the maximum lag is set to ten.

Now check the upper and lower limits option, as well as the graph option. Finally enter value for the significance level or leave the default of five percent.

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Do the same for the PACF, partial autocorrelation factor. In the output section both the table and the graph output range defaults to the current active cell. For our demo we will leave them unchanged. Click OK to continue.

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Let's examine the output table and graph in the output table.

Examine the ACF entry the value is computed using the ACF function. The ACF function references the input sample data and the lag order of the table row index.

Next examine the ACF graph, upper and lower limits entries. The values are computed using a CF CI functions. The ACF CI function, reference the input sample data, row index of the table and the test significance level.

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This concludes module 4, if you have any questions, concerns or feedback please call our toll-free number at 1(888) 427-9486 or email us at support@spiderfinancial.com. We look forward to working with you!

 

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