tag:blogger.com,1999:blog-2399872815067856997.post8045991511595230799..comments2019-05-10T22:11:49.120-04:00Comments on SLCG Blog: Persistence and Mean Reversion in VIX Rolling Futures IndexesSandy Ouanohttp://www.blogger.com/profile/08407180264644570744noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-2399872815067856997.post-41503209765858791692013-03-13T11:46:49.231-04:002013-03-13T11:46:49.231-04:00We used log returns rather than simple returns to ...We used log returns rather than simple returns to be consistent with the literature that we cite in our previous post (http://bit.ly/XIGZlM). We didn't try other methods, but the interesting result is that these other methods also produce a Hurst exponent outside of the mean-reversion regime. <br /><br />Thanks for the comment!Tim Dulaney, PhDhttps://www.blogger.com/profile/12059688533088005848noreply@blogger.comtag:blogger.com,1999:blog-2399872815067856997.post-19772992308851564972013-03-13T11:04:33.914-04:002013-03-13T11:04:33.914-04:00Did you do your calculations using SPVXSTR or ln(S...Did you do your calculations using SPVXSTR or ln(SPVXSTR ) ? I was very surprised to learn such a high value (0.6) for a "tradable" index. I repeated your calculation and came up with essentially the same value, although different estimation methods gave different results, e.g. absolute moments method estimated hurst at 0.69 while Peng's (residuals of regression) gave 0.49.~https://www.blogger.com/profile/13947069891082111297noreply@blogger.com