Exploiting the European Volatility Index Features: Anti-Persistence, Skewness, Kurtosis, and the Role of the Hurst Exponent

Volatility indices are fundamental in the study of stock markets. In this paper, we analyzed classical statistical characteristics main volatility index European markets (VStoxx) and evidenced some interesting connections cause-effect relationships between Hurst exponent moments distribution. Our results suggest that market is characterized by anti-persistence mean reversion variations seem to anticipate other distribution such as skewness kurtosis, so can possibly signal near-term reversals.