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A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodity prices

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  • Turvey, Calum G.

Abstract

The measure of long-term memory is important for the study of economic and financial time series. This paper estimates the Hurst exponent from a Scaled Variance Ratio model for 17 commodity price series under the efficient market null H0:H=0.5. The distribution about the estimates of H are obtained from 90%, 95% and 99% confidence intervals generated from 20,000 Monte Carlo replications of a geometric Brownian motion. The results show that the scaled variance ratio provides a very good and stable estimate of the Hurst exponent, but the estimates can be quite different from the measure obtained from rescaled range or R–S analysis. In general commodity prices are consistent with the underlying assumption of a geometric Brownian motion.

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  • Turvey, Calum G., 2007. "A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 155-165.
    • Handle: RePEc:eee:phsmap:v:377:y:2007:i:1:p:155-165
    DOI: 10.1016/j.physa.2006.11.022
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    Cited by:

    1. Desogus, Marco & Conversano, Claudio & Pili, Ambrogio & Venturi, Beatrice, 2022. "Fractal analysis of Dow Jones Industrial Index returns," MPRA Paper 114923, University Library of Munich, Germany.
    2. Calum G. Turvey, 2010. "Biography," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 70(1), pages 5-20, May.
    3. Zunino, Luciano & Tabak, Benjamin M. & Serinaldi, Francesco & Zanin, Massimiliano & Pérez, Darío G. & Rosso, Osvaldo A., 2011. "Commodity predictability analysis with a permutation information theory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 876-890.
    4. Jean-Christophe Statnik & David Verstraete, 2015. "Price dynamics in agricultural commodity markets: a comparison of European and US markets," Empirical Economics, Springer, vol. 48(3), pages 1103-1117, May.
    5. Liesivaara, Petri & Myyrä, Sami, 2016. "Income stabilisation tool and the pig gross margin index for the Finnish pig sector," 90th Annual Conference, April 4-6, 2016, Warwick University, Coventry, UK 236360, Agricultural Economics Society.
    6. Power, Gabriel J. & Turvey, Calum G., 2010. "Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 79-90.

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