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.
Forecasting VIX with Hurst Exponent
Mattera Raffaele
;
2022
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.File in questo prodotto:
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