Hurst Exponent Estimation

Version 2.0.0.0 (137 KB) by Vilen Abramov
The code uses R/S analysis to derive Hurst exponent for VaR adjustments.
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3.1K Downloads
Updated 2 Feb 2018

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The code uses R/S analysis to derive Hurst exponent for VaR adjustments.

Cite As

Vilen Abramov (2026). Hurst Exponent Estimation (https://www.mathworks.com/matlabcentral/fileexchange/39069-hurst-exponent-estimation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
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Version Published Release Notes
2.0.0.0

Example added.
1.0.0.0