Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market

Table 1

𝑅_𝑚,𝑡's autocorrelation coefficients and partial correlation coefficients.

Level	Autocorrelation coefficient	Partial correlation coefficient	𝑄-statistics	Probability
1	0.042	0.042	1.3213	0.250
2	−0.000	−0.002	1.3213	0.517
3	0.026	0.027	1.8370	0.607
4	−0.032	−0.034	2.5841	0.630
5	−0.015	−0.012	2.7425	0.740
6	−0.007	−0.007	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