R/S financial market analysis
Abstract
This work discusses the application of R/S analysis to financial markets. The most of the work is devoted to the calculation of Hurst parameter. The Hurst parameters of the Baltic state shares indices are presented. Darbe akcijų kintamumas modeliuojamas naudojant dispersiją, EWMA ir GARCH modelius. Rezultatai pateikiami panaudojant Lietuvos OMXV indekso logaritmuotas grąžas.