## Hurst Exponent-Rescaled Range Analysis

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Joined: Thu Nov 20, 2008 12:04 pm

### Hurst Exponent-Rescaled Range Analysis

Please find attached two subroutines that each provides a different estimation of Hurst Exponent for Rescaled Range Analysis.

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`subroutine hurst(series y)series ym!n = @obs(y)series RS_sumseries RS_avefor !i=2 to !n !count = 1  series R   for !j = 1 to !n-!i+1 step !i    series cumser    smpl !j !i+!j-1    !S = @stdev(y)    series ym = y - @mean(y)     cumser = @cumsum(ym)    R(!count) = (@max(cumser) - @min(cumser))/!S    !count = !count+1  next    smpl 1 !count-1    RS_sum = @cumsum(R)     RS_ave(!i) = RS_sum(!count-1)/(!count-1)next smpl @all   !start = @floor(10^(@log10(!n)*.25))!end = @floor(10^(@log10(!n)*.75))smpl !start !endequation eq1.ls @log10(RS_ave) c @log10(@trend(0))vector(1) hurst = eq1.@coefs(2)smpl @alldelete cumser r rs_ave rs_sum ymendsub`

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`subroutine hurst(series y)series ymseries R!n = @obs(y)for !i=2 to !n !R_sum = 0 !S_sum = 0  for !j = 1 to !n-!i+1    series cumser    smpl !j !j+!i-1    !S = @stdevp(y)    ym = y - @mean(y)    cumser = @cumsum(ym)    !R = @max(cumser) - @min(cumser)    !R_sum = !R_sum + !R    !S_sum = !S_sum + !S  next R(!i) = !R_sum / !S_sum next    smpl @first+2 @lastequation eq1.ls @log10(R) c @log10(@trend(0))vector(1) hurst = eq1.@coefs(2)smpl @alldelete ym r cumserendsub`

mmc23
Posts: 21
Joined: Sat Jan 11, 2014 9:44 am

### Re: Hurst Exponent-Rescaled Range Analysis

I have simple suggestion, would you like to write an add-in for test the long memory which includes (R/S classic and Lo's, Moody and Wu test, GPH, GSP test...)
i have seen that the other software like Rats and stata matlab can do this test, if possible also the add-in can calculate hurst with many methode like R/S and Rescaled Variance...etc (Ref 'Long-Memory Processes Probabilistic Properties and Statistical Methods, Springer 2013, Jan Beran & al, pp 409-1-416').

best regards.

ahmedex
Posts: 1
Joined: Tue Oct 27, 2015 1:25 pm

### Re: Hurst Exponent-Rescaled Range Analysis

This short program was posted last year (actually few years back). I found it very useful to compute Hurst coefficient. However, I wonder if the original author of this program or someone else can post additional commands to obtain R (square) and F-statistics from the series which generates Hurst coefficients.

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