Can you use the variance ratio test to determine whether or not a time series is mean reverting? I'm using the
Lo.Mac function in the
vrtest library in
I've used the test to reject geometric Brownian motion as a price process. Does that indicate that I have a mean reverting process or does it only indicate that the assumptions of geometric Brownian motion are not satisfied?
My plot of variance ratios looks like this:
I don't quite understand the interpretation of this plot!
Note: I don't want to use a unit root test for stationarity because the process has nonconstant variance. It is not second order stationary although I believe that it is mean reverting.