medium · Market Microstructure
A stock has a daily return variance of 0.0004. If the variance of 10-day returns is 0.0032, what is the variance ratio VR(10), and what does it suggest about the price process?
- 0.32; Pure random walk
- 0.08; Highly volatile
- 0.8; Mean reversion
- 1.2; Momentum
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