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by randerson026
Tue Jan 30, 2018 12:01 pm
Forum: Econometric Discussions
Topic: Variance Ratio Test
Replies: 0
Views: 235

Variance Ratio Test

Hello all, I working on testing whether vol is mean-reverting using a variance ratio test. For fx_vol, I find the VR test statistics are small but I can't reject the null that the series is a random walk. Can I say that it is a random walk and potentially mean reverts (this may be a stupid question)...

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