Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares

Table 10

Transaction volume duration WACD (1, 1) residual ACF.

Lag	AC	PAC	-Stat	Probability
1	0.031	0.031	0.624	0.429
2	−0.086	−0.087	5.476	0.065
3	0.022	0.027	5.785	0.123
4	−0.102	−0.112	12.693	0.013
5	0.006	0.019	12.717	0.026
6	−0.081	−0.105	17.125	0.009
7	−0.114	−0.101	25.750	0.001
8	−0.047	−0.073	27.208	0.001
9	−0.015	−0.028	27.359	0.001
10	−0.011	−0.040	27.439	0.002
11	0.019	−0.005	27.676	0.004
12	0.005	−0.022	27.692	0.006
13	−0.036	−0.061	28.547	0.008
14	−0.033	−0.065	29.284	0.010
15	−0.009	−0.036	29.339	0.015