Long Memory and Fractality in the Universe of Volatility Indices

Table 3

Hurst exponent calculation for rolling COVID-19 window.

Period	HVIX		HVXN		HVXO		HVXD		HRVX		HVPD		HOVX		HVVIX		HSKEW
	Hurst	Fractal	Hurst	Fractal	Hurst	Fractal	Hurst	Fractal	Hurst	Fractal	Hurst	Fractal	Hurst	Fractal	Hurst	Fractal	Hurst	Fractal
Pre-COVID-19	0.8480	1.1520	0.8693	1.1307	0.8822	1.1178	0.8595	1.1405	0.8671	1.1329	0.9933	1.0067	0.8316	1.1684	0.8923	1.1077	0.9434	1.0566
During COVID-19	0.9600	1.0400	0.9518	1.0482	0.9451	1.0549	0.9377	1.0623	0.9587	1.0413	0.9946	1.0054	0.9737	1.0263	0.9568	1.0432	0.9069	1.0931

Notes: the pre-COVID-19 period is March 1, 2019, to December 31, 2019 (time window 212 observations); the COVID-19 period ranges from January 1, 2020, to November 2, 2020 (time window 212 observations). Notably, in Table 2, Year 2019 is from January 1, 2019, to December 31, 2019, and year 2020 is from January 1, 2020, to October 5, 2020.