ihurst: Implied Hurst Exponent

In ivol: Option-implied Informations

Description

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).

Usage

ihurst(data, maturities=NULL)

Arguments

data	Time series of implied volatilities with columns of different time-to-maturity. data can be of any class, as long as it is transformable to a matrix when calling as.matrix().
maturities	Maturities (in days) of the data columns. If not specified, then maturities are tried to be imported from data's column names.

Details

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.

Value

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 "hu_oskendal" available.
call	The matched call.
fitted.values	Regression's fitted values.

See Also

imom

Examples

# estimate implied Hurst exponent

library(ivol)
data(atm)
x <- ihurst(atm)
plot(x)
summary(x)
coef(x)

ivol documentation built on Sept. 19, 2019, 3 a.m.