Support Board
Date/Time: Wed, 15 Jan 2025 21:59:21 +0000
Post From: Question on Hurst exponent
| [2017-09-15 17:25:37] |
| SC Support Tom - Posts: 450 |
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Hello bala, As you noted, the Hurst exponent should be between 0 and 1 (with 0 < H < 0.5 indicating an anti-persistent time series, and 0.5 < H < 1 indicating a persistent time series). Any of the existing algorithms for computing the Hurst exponent are estimations, and some of those estimations yield H > 1 for a given time series. We are unable to offer an interpretation for this case. Date Time Of Last Edit: 2017-09-15 21:10:42
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