Can anyone instruct me in how to perform an autocorrelation analysis? I want to understand how to perform an autocorrelation similar to the attached image. I have access to several different mathematics programs that are capable of performing this analysis such as SPSS 13, Matlab, Mathematica, XLStat, etc. Do you use the pure price data?; do you offset the price data in another column and calculate the return between each period and then perform the autocorrelation? Please help.