Research Article
Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market
Table 1
's autocorrelation coefficients and partial correlation coefficients.
| Level | Autocorrelation coefficient | Partial correlation coefficient | -statistics | Probability |
| 1 | 0.042 | 0.042 | 1.3213 | 0.250 | 2 | | | 1.3213 | 0.517 | 3 | 0.026 | 0.027 | 1.8370 | 0.607 | 4 | | | 2.5841 | 0.630 | 5 | | | 2.7425 | 0.740 | 6 | | | 2.7784 | 0.836 | 7 | 0.045 | 0.048 | 4.2915 | 0.746 | 8 | 0.012 | 0.008 | 4.4049 | 0.819 | 9 | 0.049 | 0.048 | 6.1816 | 0.722 | 10 | 0.044 | 0.037 | 7.6465 | 0.663 |
|
|