Multifractal Analysis of Volatility for Detection of Herding and Bubble in Skewness Index
In this paper, we focus on understanding the herding and bubble detection in the volatility domain of a capital market underlying. Through continuous analysis, we find the trances of the volatility bubble in the underlying and this helps to predict the bubble in the parabola function. The test is conducted on multifractals variants by fractal analysis using Hurst exponent calculationfurther analysis is been conducted to find the herding in the Skewness Index. The Hurst exponent is calculated by using the daily closing prices for ten years to generate the results. In further studies, it is found that there is a mild presence of herding and bubble formation in a few years.
Keywords - Multifractal analysis, Bubble, Hurst exponent, Herding
JEL classification: B23, C41, B16