Rescaled Range Analysis

Calculates the rescaled range analysis.
Updated 6 Jan 2004

No License

Accorting to the references the Rescaled Range Analysis can reveal non-periodic cycles time series. It has found many applications on the financial time series, although the underlying theory is not convincing. This m-file contains the basic algorithm and 4 proposed variations. The estimation of the Hurst exponents is up to the user.

Cite As

Alexandros Leontitsis (2024). Rescaled Range Analysis (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R13
Compatible with any release
Platform Compatibility
Windows macOS Linux

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