Hi, using the Hurst code template from the course 'Crypto Trading Strategies: Advanced'. i've replaced the 1min_ethusd data with daily BTC data.
in computing the rolling Hurst, i noticed that the Hurst Exponent is above 1 in some cases. What am i doing wrong here?
A Hurst exponent value that is greater than 1 does not have much theoretical interpretation or physical significance in describing the generating process. As per the definition of the Hurst exponent, the most likely way the value would be greater than 1 is if there exists a residual trend in the input series. Such scenarios may arise if the input data series was not stationary, or if the de-trending didn’t work. The Hurst exponent may sometimes be susceptible to errors even if we perform the standard operations to generate a stationary series. For example, the long memory parameters could be misguided if the input series is short, or if there is any regime changes/ jump clustering.
Hope that helps!