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

Table 11

Transaction volume duration WACD (1, 2) residual Ljung-Box testing.

Lag	AC	PAC	-Stat	Probability
1	0.059	0.059	2.264	0.132
2	−0.095	−0.099	8.217	0.016
3	0.008	0.020	8.259	0.041
4	−0.102	−0.114	15.113	0.004
5	0.001	0.019	15.115	0.010
6	−0.083	−0.109	19.648	0.003
7	−0.116	−0.100	28.613	0.000
8	−0.049	−0.072	30.199	0.000
9	−0.014	−0.029	30.335	0.000
10	−0.008	−0.040	30.381	0.001
11	0.021	−0.005	30.670	0.001
12	0.006	−0.023	30.693	0.002
13	−0.036	−0.061	31.541	0.003
14	−0.033	−0.063	32.294	0.004
15	−0.010	−0.035	32.359	0.006