S1V3 S2V3 S3V3 S4V3 S5V3 MKT

Autocorr: lag 5 0.012 0.035 0.053 0.060 0.123 0.078

Autocorr: lag 4 -0.039 -0.031 -0.038 -0.035 0.000 -0.003
Autocorr: lag 3 -0.039 -0.053 -0.046 -0.019 -0.013 0.001
Autocorr: lag 2 -0.015 -0.022 -0.031 -0.039 -0.058 -0.043
Autocorr: lag 1 0.169 0.145 0.130 0.093 -0.009 0.049

0.20

0.15

0.10

0.05

0.00
S1V3 S2V3 S3V3 S4V3 S5V3 MKT
-0.05

-0.10
Autocorr: lag 5 Autocorr: lag 4 Autocorr: lag 3 Autocorr: lag 2 Autocorr: lag 1

0.20

0.15

0.10

0.05

0.00
Autocorr: lag 5 Autocorr: lag 4 Autocorr: lag 3 Autocorr: lag 2 Autocorr: lag 1
-0.05

-0.10
S1V3 S2V3 S3V3 S4V3 S5V3 MKT

Observations for Autocorr: lag 5 716

Observations for Autocorr: lag 4 717
Observations for Autocorr: lag 3 718
Observations for Autocorr: lag 2 719
Observations for Autocorr: lag 1 720

Test statistic for Autocorr: lag 5 0.334 0.945 1.429 1.615 3.294 2.088
Test statistic for Autocorr: lag 4 -1.048 -0.827 -1.009 -0.948 -0.001 -0.072
Test statistic for Autocorr: lag 3 -1.036 -1.423 -1.233 -0.498 -0.346 0.024
Test statistic for Autocorr: lag 2 -0.400 -0.594 -0.824 -1.053 -1.555 -1.151
Test statistic for Autocorr: lag 1 4.535 3.890 3.480 2.488 -0.231 1.314

How does the number 1.96 come about?

Two-sided test based on the standard normal distribution.
"=NORMSDIST(1.96)" 0.975
"=NORMDIST(1.96,0,1,TRUE)" 0.975

H0: Null hypothesis is that the estimated autocorrelation coefficient is equal to zero

Test statistic for Autocorr: lag 5 NOT REJECT NOT REJECT NOT REJECT NOT REJECT REJECT REJECT
Test statistic for Autocorr: lag 4 NOT REJECT NOT REJECT NOT REJECT NOT REJECT NOT REJECT NOT REJECT
Test statistic for Autocorr: lag 3 NOT REJECT NOT REJECT NOT REJECT NOT REJECT NOT REJECT NOT REJECT
Test statistic for Autocorr: lag 2 NOT REJECT NOT REJECT NOT REJECT NOT REJECT NOT REJECT NOT REJECT
Test statistic for Autocorr: lag 1 REJECT REJECT REJECT REJECT NOT REJECT NOT REJECT