{"id":5316,"date":"2013-03-14T06:39:42","date_gmt":"2013-03-14T10:39:42","guid":{"rendered":"http:\/\/www.jasonapollovoss.local\/?p=5316"},"modified":"2018-09-21T02:04:12","modified_gmt":"2018-09-21T06:04:12","slug":"rescaled-range-analysis-analyzing-the-vix","status":"publish","type":"post","link":"https:\/\/jasonapollovoss.com\/web\/2013\/03\/14\/rescaled-range-analysis-analyzing-the-vix\/","title":{"rendered":"Rescaled Range Analysis: Analyzing the VIX"},"content":{"rendered":"

Earlier this year I wrote a post explaining\u00a0the forgotten quantitative technique of rescaled range analysis<\/a>,\u00a0which was invented by hydrologist\u00a0Harold Edwin Hurst<\/a>\u00a0and\u00a0can be used to assess the nature and magnitude of variability in financial data over time. In a follow-up post, “Is the S&P 500 Mean Reverting?<\/a>” I calculated a “Hurst exponent<\/a>” of 0.49 for\u00a0the S&P 500 index for the period 3 January 1950 to 15 November 2012, a number which suggests that the benchmark index exhibits a “random walk”: knowing one data point in the time series does not provide insight into predicting future data points.<\/span><\/p>\n

Financial economists\u00a0Tim Husson<\/a> and Tim Dulaney<\/a> of consulting firm Securities Litigation and Consulting Group<\/a> have done me the honor of extending the analysis. In a recent blog post, they performed a\u00a0rescaled range analysis of the Chicago Board Options Exchange Market Volatility Index<\/a>, better known as “the VIX<\/a>,” a popular measure of implied volatility, or perceived riskiness, in financial markets.<\/span><\/p>\n

Their finding? That the VIX has a Hurst exponent of roughly 0.36 for the period 29 January 1993 to 1 March 2013 \u2014 a number which\u00a0suggests that the so-called “fear index,” unlike the S&P 500, “is mean-reverting with a slight bias toward randomness.<\/span><\/p>\n

Read “Persistence and Mean Reversion in Market Data<\/a>” on the Securities Litigation & Consulting Group blog<\/a>.<\/span><\/p>\n

 <\/p>\n

\n

Originally published on CFA Institute\u2019s \u00a0Enterprising Investor<\/a>.<\/em><\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

Earlier this year I wrote a post explaining\u00a0the forgotten quantitative technique of rescaled range analysis,\u00a0which was invented by hydrologist\u00a0Harold Edwin Hurst\u00a0and\u00a0can be used to assess the nature and magnitude of variability in financial data over time. In a follow-up post, “Is the S&P 500 Mean Reverting?” I calculated a “Hurst exponent” of 0.49 for\u00a0the S&P […]<\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_et_pb_use_builder":"","_et_pb_old_content":"","_et_gb_content_width":"","footnotes":""},"categories":[12,3],"tags":[165,164,175],"class_list":["post-5316","post","type-post","status-publish","format-standard","hentry","category-best-of-the-blog","category-the-blog","tag-quantitative-methods","tag-rescaled-range-analysis","tag-vix"],"_links":{"self":[{"href":"https:\/\/jasonapollovoss.com\/web\/wp-json\/wp\/v2\/posts\/5316","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/jasonapollovoss.com\/web\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/jasonapollovoss.com\/web\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/jasonapollovoss.com\/web\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/jasonapollovoss.com\/web\/wp-json\/wp\/v2\/comments?post=5316"}],"version-history":[{"count":0,"href":"https:\/\/jasonapollovoss.com\/web\/wp-json\/wp\/v2\/posts\/5316\/revisions"}],"wp:attachment":[{"href":"https:\/\/jasonapollovoss.com\/web\/wp-json\/wp\/v2\/media?parent=5316"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/jasonapollovoss.com\/web\/wp-json\/wp\/v2\/categories?post=5316"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/jasonapollovoss.com\/web\/wp-json\/wp\/v2\/tags?post=5316"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}