I have a time series of log-returns of a stock. I want to determine whether the time series is just white noise or if there are some other pattern. How to I use the definition of white noise to make a conclusion?
Solved – Determining whether a Time series is white noise
time serieswhite noise
Best Answer
You want to look at an autocorrelation function (ACF) plot. If no lags are significantly correlated, then you basically have white noise or a MA(q) process aka moving average.
You can use this guide here to compare what your ACF plot looks like to determine if your time-series is "white noise" or not. Guide to ACF/PACF Plots
Also, feel free to browse through previous time-series related posts like:
How to interpret ACF and PACF plots
Help interpreting ACF- and PACF-plots
Interpreting ACF and PACF Plot