Forecasting VIX with Hurst Exponent

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Conference object 01 Jan 2022 Italy English Publisher:Springer International Publishing

Authors: Bianchi Sergio; Mattera Raffaele; Di Sciorio Fabrizio;

doi: 10.1007/978-3-030-99638-3_15

handle: 11573/1646109 , 11591/549809

Forecasting VIX with Hurst Exponent

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Abstract

The VIX is a proxy for the implied volatility, computed con- sidering Standard & Poor’s 500 Index data. It widely regarded as a mea- sure of turbulence in U.S. and global financial markets. Hence, forecasting the VIX is essential for both portfolio managers and policy makers. By modeling the S&P 500 Index as a multifractional Brownian motion, we exploit the relationship between its Hurst exponent and the volatility to predict the VIX by a Distributed Lag model.

Country

Italy

Related Organizations

University Federico II of Naples
Italy
University of Campania "Luigi Vanvitelli"
Italy
University of Almería
Spain
Sapienza University of Rome
Italy

Keywords

Hurst exponent; Financial markets; VIX index; Volatility; Multifractional Brownian motion

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