Again, consider the high-frequency data of GE stock from December 1 to December 5, 2003 and ignore the transactions outside normal trading hours. Construct an intraday 5-minute return series. Note that the price of the stock in a 5-minute interval (e.g., 9:30 and 9:35 am) is the last transaction price within the time interval. For simplicity, ignore overnight returns. Are there serial correlations in the 5-minute return series? Use 10 lags of the ACF and 5% level to perform the test. See filetaq-ge-dec5-5m.txt.