ihurst {ivol} | R Documentation |
Estimates the ex-ante Hurst exponent from option implied volatilities via a decomposition over the term structure. Builds on fractal option pricing of Hu and Oksendal (2003)
ihurst(data, maturities)
data |
Time series of implied volatilities with columns of different time-to-maturity. Either in matrix, |
maturities |
Maturities (in days) of the data columns. |
ihurst
Estimates the implied Hurst exponent. Can be used as risk-neutral momentum or sentiment analysis.
Implied Hurst exponent as time series of class ivol
## estimate implied Hurst exponent FIXME ## ih <- ihurst(data = implied_volatilities, maturities) ## summary(ih)