Fig. 2: Autocorrelation and partial autocorrelation plot of standardised residuals for O/N SHIBOR return.
From: Interest rate risk of Chinese commercial banks based on the GARCH-EVT model
Note: Autocorrelation and partial autocorrelation plots. The vertical axis is the correlation coefficient, indicating the correlation of residual series; horizontal axis is the order of lag; the black vertical line represents the value of the autocorrelation coefficient of each lag. The blue area is the 95% confidence interval, which is the criterion for detecting whether the correlation coefficient is 0. When the black line exceeds these two boundaries, it can be determined that the correlation coefficient is significantly different from 0.
