How to deal with the value of D (fractional differentiation parametr) over 1

Semen Blahun @Semen-Blahun

01 January 1970 0 6K Report

Good afternoon!

I tried to research stock index behavior, specifically long memory. I tried to use log series and DFA.

I received H=1.5578. Using formula d=H-0.5, d= 1.0578. How this result can be explained? Or how to manage it?

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