A new combined approach on Hurst exponent estimate and its applications in realized volatility

Yi Luo and Yirong Huang

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 1364-1372

Abstract: The purpose of this paper is to propose a new estimator of Hurst exponent based on the combined information of the conventional rescaled range methods. We demonstrate the superiority of the proposed estimator by Monte Carlo simulations, and the applications in estimating the Hurst exponent of daily volatility series in Chinese stock market. Moreover, we indicate the impact of the type of estimator and structural break on the estimating results of Hurst exponent.

Keywords: Hurst exponent; Rescaled range; Fractional Gaussian noise; Monte Carlo simulation; Volatility (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:492:y:2018:i:c:p:1364-1372

DOI: 10.1016/j.physa.2017.11.063

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