Abstract

This study proposed a methodology to measure the Hurst exponent with the adjustment of short-range dependence in the financial markets. The possible short-range dependence is adjusted by heteroscedastic models.  Two emerging financial markets have been selected to conduct the adjusted Hurst exponent evaluations for the periods before, during and after the Asian financial crisis.  After the short-range dependence adjustment, the empirical results indicated weak and no evidence of long-range dependence in most of the selected markets.  As a result, the proposed method is able to handle the possible spurious long range dependence volatility in the financial markets. 

Key words: Hurst exponents, long-range dependence, ARCH model, financial time series.