TITLE:
Exploiting the European Volatility Index Features: Anti-Persistence, Skewness, Kurtosis, and the Role of the Hurst Exponent
AUTHORS:
Michele Anelli, Michele Patanè, Stefano Zedda
KEYWORDS:
VStoxx, Hurst Exponent, Kurtosis, Skewness, Cointegration, Vector Error Correction Model, Granger-Causality
JOURNAL NAME:
Modern Economy,
Vol.14 No.5,
May
31,
2023
ABSTRACT: Volatility indices are fundamental in the study of stock markets. In this
paper, we analyzed the classical statistical characteristics of the main
volatility index of the European stock
markets (VStoxx) and evidenced some interesting connections and cause-effect
relationships between the Hurst exponent and the moments of the distribution.
Our results suggest that the market volatility is characterized by anti-persistence and mean reversion and that the Hurst
exponent variations seem to anticipate the variations of the other moments of the distribution such as skewness and kurtosis, so that the Hurst exponent variations can possibly signal near-term market reversals.