Is market fear persistent? A long-memory analysis

Arbeitspapier

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some sub-periods (pre-crisis, crisis and post-crisis). The findings indicate that its properties change over time: in normal periods it exhibits antipersistence (there is a negative correlation between its past and future values), whilst during crisis period the level of persistence is increasing. These results can be informative about the nature of financial bubbles and anti-bubbles, and provide evidence on whether there exist market inefficiencies.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DIW Discussion Papers ; No. 1670

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: Market Fear ; VIX ; Persistence ; Long Memory ; R/S Analysis ; Fractional Integration

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Caporale, Guglielmo Maria ; Gil-Alana, Luis ; Plastun, Alex
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/162813
• Last update: 10.03.2025, 11:44 AM CET