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

Table 13

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

Lag	AC	PAC	-Stat	Probability
1	0.028	0.028	0.535	0.465
2	−0.019	−0.020	0.784	0.676
3	0.019	0.020	1.016	0.797
4	−0.078	−0.080	5.069	0.280
5	0.004	0.009	5.079	0.406
6	−0.074	−0.079	8.733	0.189
7	−0.108	−0.101	16.453	0.021
8	−0.044	−0.050	17.750	0.023
9	−0.015	−0.015	17.905	0.036
10	−0.010	−0.021	17.968	0.056
11	0.018	0.004	18.189	0.077
12	0.004	−0.009	18.202	0.110
13	−0.032	−0.050	18.902	0.126
14	−0.032	−0.052	19.578	0.144
15	−0.009	−0.022	19.639	0.186