Adaptive fractal dynamics: a time-varying Hurst approach to volatility modeling in equity markets

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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Bibliographic Details
Main Authors: Abe Webb, Siddharth Mahajan, Mateo Sandhu, Rohan Agarwal, Arjun Velan
Format: Article
Language:English
Published: Frontiers Media S.A. 2025-06-01
Series:Frontiers in Applied Mathematics and Statistics
Subjects:
time-varying Hurst exponent
volatility modeling
fractal dynamics
wavelet analysis
adaptive market hypothesis
stochastic volatility
Online Access:https://www.frontiersin.org/articles/10.3389/fams.2025.1554144/full
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