If you approach the end of the ferrite rod with one pole of a strong magnet, the output will be DC until you reverse the direction of the magnet or stop moving the magnet (when you will get nothing).
Your meter will be more sensitive on the DC ranges because the AC range has a diode in series with the input.
So, try it on DC volts first until you get some sort of a reading. If there is a 200 mV range, try that first.
Then, you could try putting a
voltage on it and seeing if you can deflect a compass needle or pick up small nails etc.