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I am trying to calculate the Hurst Exponent using Excel. I am facing a problem where the exponent value sometime goes beyond 1. Can someone share a link / material so that it will help me to calculate accurate values using Excel.

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  • $\begingroup$ I just started calculating the Hurst exponent a few days ago using OpenOffice. I've been looking for examples as well to help me finish it, no luck so far. Post your study if your able, it will help me, and maybe someone can make the necessary corrections? $\endgroup$
    – montyhall
    Nov 8, 2012 at 8:15
  • $\begingroup$ You can find several different implementations of the Hurst exponent here: prorum.com/index.php/2173/… $\endgroup$ Feb 9, 2016 at 15:44

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A detailed description of the Hurst Exponent can be found here. A further (rather short search of Google) turned up this site claiming to provide an Excel Workbook with, among other things, Hurst Exponent estimation.

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You can try the excel sheet we did a few years ago: https://www.researchgate.net/publication/272792633_Excel_Hurst_Calculator

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