I would like to conduct a variance ratio test for a financial time series in order to examine whether I can apply the square root rule for the variance with the software R.
I used the Automatic Variance Ratio Test
vrtest::Auto.Vr and got a statistic of
-0.01. Now I am wondering, is that the z-score, which is distributed standard normal under the Null hypothesis, that this ratio is
1 (or equivalent that there is no autocorrelation)? It is not specified in the describtion, I just found this:
Usage: Auto.VR(y) Arguments: y financial return time series Value: stat Automatic variance ratio test statistic