Estimation and relation of memory persistence in contagion and market variables
DOI:
https://doi.org/10.29201/peipn.v17i35.97Keywords:
COVID-19, Hurst coefficient, financial marketAbstract
This work is an application of the methodology Rescaled Range (R/S) for the determination of the Hurst coefficient in the case of the representative variables of the financial markets in the United States and Mexico, as well as in the growth in COVID-19 infections worldwide, in the United States and Mexico. One of the most important results, there is greater memory persistence in financial returns and contagions in the world case and in the United States than with respect to Mexico. Another important result is that during the periods of greatest contagion of COVID-19, the memory of the series in infections increase in the world, United States and Mexico. Additionally, the correlation coefficients between Hurst exponents are higher for the health series for the three cases than when compared with the Hurst coefficients of the financial series.
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