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Forecasting VIX with Hurst Exponent

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • 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
    Sapienza University of Rome, Department of Social and Economic Sciences)

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.

Suggested Citation

  • Sergio Bianchi & Fabrizio Di Sciorio & Raffaele Mattera, 2022. "Forecasting VIX with Hurst Exponent," Springer Books, in: Marco Corazza & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 90-95, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-99638-3_15
    DOI: 10.1007/978-3-030-99638-3_15
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