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You are probably computing autocorrelation in the prices. If you compute autocorrelation between the returns or log returns then you will not see the results you are getting. This is because: Tomorrow's price will always be influenced by lagged prices and the series will not look weak stationary if you plot it. The direct differencing doesn't help either ...

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Check your calculations, gold prices are indeed auto-correlated. acf(diff(log(OilGold\$price_gold))) will yield no auto-correlation in gold log-returns.

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