OK, so, I'm stupid. I don't understand how to calculate the sample autocorrelation function so that I can plot a correlogram. Realize, I've forgotten most of this subject matter... I've pored over my notes and my book, but I can't find where it explains this. I found a formula in chapter 16 for the sample autoc., but I don't know how to put it into Excel. I don't understand what the sums are actually of...
Can somebody please help me out? Hust pointing me to the textbook section, or NEAS post, that you used to understand it would save me.
By the way, something I did that is helping... I googled the rate I'm using (Moody's AAA) and am using my understanding of what it is in my explanation of my process.
Jacob: If I don’t know how to calculate a sample autocorrelation function, can I still do a student project?
Rachel: The sample autocorrelation function is the core of the time series course. The student project should show that you know how to calculate the sample autocorrelations, form a correlogram, and construct an ARIMA model.
Jacob: What is the sample autocorrelation function?
Rachel: Suppose the time series has N elements: {1, 2, 3, …, N}. The sample autocorrelation of lag k is the correlation of the elements {1, 2, 3, …, N-k} with the elements {k+1, k+2, …, N}.
Jacob: Do we compute the sample covariance and divide by the products of the sample standard deviations?
Rachel: Excel has a built-in correl function. Excel has built-in functions for many of the statistical techniques.
Jacob: How do we compute the sample autocorrelation for all lags?
Rachel: Excel has many ways of doing this: index and offset functions, relative and absolute references, and VBA macros. We show simple code to form a correlogram on an illustrative worksheet on the web site.