Adaptive fractal dynamics: a time-varying Hurst approach to volatility modeling in equity markets
We propose a dynamic fractional volatility model that incorporates a time-varying Hurst exponent estimated via Daubechies-4 wavelet analysis on 252-day rolling windows to capture evolving market memory effects in equity markets. This approach overcomes the limitations of traditional GARCH-type and s...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2025-06-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fams.2025.1554144/full |
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