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Exploiting the European Volatility Index Features: Anti-Persistence, Skewness, Kurtosis, and the Role of the Hurst Exponent
Department of Business and Law, School of Economics and Management, University of Siena, Siena, Italy
Department of Business and Law, School of Economics and Management, University of Siena, Siena, Italy
Department of Business and Economics, University of Cagliari, Cagliari, Italy
- 1 Department of Business and Law, School of Economics and Management, University of Siena, Siena, Italy
- 2 Department of Business and Law, School of Economics and Management, University of Siena, Siena, Italy
- 3 Department of Business and Economics, University of Cagliari, Cagliari, Italy
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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 Hurs t 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.
KeywordsVStoxxHurst ExponentKurtosisSkewnessCointegrationVector Error Correction ModelGranger-Causality
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