hard · Market Microstructure
A stock has a daily return variance of 0.0009. If the variance of its 10-day returns is observed to be 0.0063, what is the variance ratio VR(10), and what does it imply about the price process?
- 0.70; implying momentum
- 0.70; implying mean reversion
- 1.43; implying momentum
- 1.00; implying a random walk
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