Rescaled Range Analysis

Version 1.0.0.0 (1.83 KB) by Alexandros Leontitsis
Calculates the rescaled range analysis.
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10.1K Downloads
Updated 6 Jan 2004

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Accorting to the references the Rescaled Range Analysis can reveal non-periodic cycles time series. It has found many applications on the financial time series, although the underlying theory is not convincing. This m-file contains the basic algorithm and 4 proposed variations. The estimation of the Hurst exponents is up to the user.

Cite As

Alexandros Leontitsis (2024). Rescaled Range Analysis (https://www.mathworks.com/matlabcentral/fileexchange/4325-rescaled-range-analysis), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R13
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.0.0.0