The Nobel Memorial Prize for Robert F. Engle

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Figure 8

Autocorrelations and Residual Autocorrelations of Level, Slope and Curvature Factors

Autocorrelation of ^₁₁

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Autocorrelation of β₂₁

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Autocorrelation of ^₂₁

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Autocorrelation of β₃₁

Autocorrelation of ^₃₁

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Notes to Figure 8: We plot the sample autocorrelations of the three estimated factors, β_1t, β_2t, andβ₃₁, as
well as the sample autocorrelations of AR(1) models fit to the three estimated factors, along with Barlett’s
approximate 95% confidence bands.

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