Hurst Exponent Estimation
The code uses R/S analysis to derive Hurst exponent for VaR adjustments.
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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 .
General Information
- Version 2.0.0.0 (137 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
