Comparison of Stationarity on Ljung Box Test Statistics for Forecasting

The movements in Asset prices are very complex, therefore seem to be unpredictable. However, one of the main challenges of the econometric models is to get the best data for forecasting in order to present accurate results. This paper investigates the performance of stationary and non-stationary data on Ljung Box test statistics, to check the fitness of the data for forecasting. In the paper three assets (Groundnut, sorghum and soya bean) are used, tests are conducted for Ljung box statistics; Correlogram, Histogram Normality and Heteroscedasticity test. It is observed that stationary data are better for forecasting than non-stationary data in this research.