ihurst {ivol}R Documentation

Implied Hurst Exponent

Description

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)

Usage

ihurst(data, maturities)

Arguments

data

Time series of implied volatilities with columns of different time-to-maturity. Either in matrix, data.frame or xts format.

maturities

Maturities (in days) of the data columns.

Details

ihurst Estimates the implied Hurst exponent. Can be used as risk-neutral momentum or sentiment analysis.

Value

Implied Hurst exponent as time series of class ivol

See Also

imom

Examples

## estimate implied Hurst exponent FIXME
## ih <- ihurst(data = implied_volatilities, maturities)
## summary(ih)

[Package ivol version 0.0-1 Index]