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- Tue Jan 30, 2018 12:01 pm
- Forum: Econometric Discussions
- Topic: Variance Ratio Test
- Replies: 0
- Views: 2009
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)...