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 … future values), whilst during crisis period the level of persistence is increasing. These results can be informative about …

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 … properties change over time: in normal periods it exhibits anti-persistence (there is a negative correlation between its past and …