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.