ihurst {ivol} | R Documentation |
Estimates the ex-ante Hurst exponent and fractal volatility from option implied volatilities via a decomposition over the term structure. Builds on fractal option pricing of Hu and Oksendal (2003).
ihurst(data, maturities=NULL)
data |
Time series of implied volatilities with columns of different time-to-maturity. |
maturities |
Maturities (in days) of the data columns. If not specified, then maturities are tried to be imported from |
ihurst
Estimates the implied Hurst exponent, which can be used as risk-neutral momentum or for sentiment analysis. Methods summary
, plot
and print
are defined for objects of class ivol
.
ihurst
returns a list
object of class
"c(ihurst, ivol)
". List elements are as follows:
coefficients |
A matrix of estimated Hurst exponents, fractal volatility plus goodness of fit (r2). |
residuals |
The residuals, that is response minus fitted values. |
method |
Underlying estimation method. Currently only " |
call |
The matched call. |
fitted.values |
Regression's fitted values. |
# estimate implied Hurst exponent library(ivol) data(atm) x <- ihurst(atm) plot(x) summary(x) coef(x)