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Essay heading: Predictability Of Stock Price Returns In Select Emerging Markets
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Business |
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| Date added: |
November 24, 2003 |
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6 / 1490 |
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Ayadi and Pyun (1994) acknowledge that the variance ratio test is more appealing than the other traditional tests of random walk.
The idea behind the VR test is that the variance of a multi-period return is the sum of single period variances when the RWH is true. In other words, if the natural logarithm of a time series Yt is pure random walk, the variance of its q-differences grows proportionately with the difference q...
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In other words, if the natural logarithm of a time series Yt is pure random walk, the variance of its q-differences grows proportionately with the difference q. . The Variance Ratio VR (q), is defined as:
(1)
where is 1/q the variance of the q-differences and is the variance of the first differences...
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