Forecasting VIX with Hurst Exponent

Sergio Bianchi (), Fabrizio Di Sciorio () and Raffaele Mattera ()
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Sergio Bianchi: Sapienza University of Rome, MEMOTEF
Fabrizio Di Sciorio: University of Almeria, Department of Economics
Raffaele Mattera: University of Naples “Federico II”, Department of Economics and Statistics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022, pp 90-95 from Springer

Abstract: Abstract The VIX is a proxy for the implied volatility, computed considering Standard & Poor’s 500 Index data. It widely regarded as a measure 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.

Keywords: Hurst exponent; Financial markets; VIX index; Volatility; Multifractional Brownian motion (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-99638-3_15

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

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