Table 4: The autocorrelation functions of raw and absolute returns. The table contains the autocorrelation function of raw returns for lags , and the autocorrelation function of absolute returns for lags for the EGX 30 along with estimates of the mean, the 5 percent, 25 percent, 50 percent, 75 percent, and 95 percent quantiles of these statistics for the MOD1 and the MOD2, respectively. Computations are based on 5000 time series, each containing 4120 observations.

SeriesMean/quantile

EGX 300.180.020.040.290.090.050.03

MOD1 () Mean0.020.010.0030.250.160.080.02
0.05−0.02−0.03−0.040.200.100.02−0.03
0.250.01−0.01−0.010.230.130.05−0.003
0.500.020.010.0040.250.160.070.02
0.750.040.020.020.270.180.100.04
0.950.070.050.040.300.210.140.07

MOD2 () Mean0.020.010.0040.280.170.080.02
0.05−0.02−0.04−0.040.230.110.02−0.03
0.250.004−0.01−0.010.260.150.05−0.001
0.500.020.010.0040.280.170.080.02
0.750.040.020.020.300.200.110.04
0.950.070.050.050.330.230.150.09