|
A measure of the randomness of a return series. Variance ratio is computed by dividing the variance of returns estimated from longer intervals by the variance of returns estimated from shorter intervals, (for the same measurement period), and then normalizing this value to one by dividing it by the ratio of the longer interval to the shorter interval. A variance ratio that is greater than one suggests that the returns series is positively serially correlated or that the shorter interval returns trend within the duration of the longer interval. A variance ratio that is less than one suggests that the return series is negatively serially correlated or that the shorter interval returns tend toward mean reversion within the duration of the longer interval.
|
