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

Table 12

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

Lag	AC	PAC	-Stat	Probability
1	0.055	0.055	2.014	0.156
2	−0.093	−0.097	7.776	0.020
3	0.012	0.023	7.872	0.049
4	−0.101	−0.113	14.592	0.006
5	0.002	0.019	14.595	0.012
6	−0.082	−0.109	19.120	0.004
7	−0.116	−0.100	28.101	0.000
8	−0.049	−0.072	29.687	0.000
9	−0.015	−0.028	29.835	0.000
10	−0.009	−0.040	29.892	0.001
11	0.020	−0.005	30.160	0.001
12	0.005	−0.023	30.179	0.003
13	−0.036	−0.061	31.043	0.003
14	−0.034	−0.064	31.801	0.004
15	−0.010	−0.035	31.867	0.007