Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.044	0.183

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.884	0.040	-22.148	0.0000
|log-return|	-71.945	2.165	-33.225	0.0000
I(right-tail)	0.126	0.055	2.319	0.0205
|log-return|*I(right-tail)	-2.530	3.025	-0.836	0.4030

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.421	0.263	0.714	0.905

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.04	0.20

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.247	0.109

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.874	0.040	-21.816	0.0000
|log-return|	-90.753	2.729	-33.251	0.0000
I(right-tail)	0.234	0.056	4.205	0.0000
|log-return|*I(right-tail)	-13.035	3.992	-3.265	0.0011

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.480	0.375	0.748	0.818

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	1.23

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.084	0.174

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.904	0.039	-23.026	0.0000
|log-return|	-63.070	1.897	-33.252	0.0000
I(right-tail)	0.155	0.054	2.869	0.0042
|log-return|*I(right-tail)	-7.380	2.748	-2.686	0.0073

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.467	0.306	0.557	0.815

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	0.87

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.082	0.141

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.977	0.038	-25.675	0.0000
|log-return|	-60.479	1.846	-32.770	0.0000
I(right-tail)	0.192	0.052	3.653	0.0003
|log-return|*I(right-tail)	-9.359	2.698	-3.468	0.0005

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.409	0.378	0.525	0.806

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	0.27

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.018	0.145

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.795	0.041	-19.324	0.0000
|log-return|	-83.748	2.492	-33.606	0.0000
I(right-tail)	0.187	0.057	3.273	0.0011
|log-return|*I(right-tail)	-8.758	3.583	-2.444	0.0146

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.470	0.259	0.734	0.800

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	0.95

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.161	0.107

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.833	0.040	-21.034	0.0000
|log-return|	-70.547	2.087	-33.809	0.0000
I(right-tail)	0.112	0.055	2.040	0.0414
|log-return|*I(right-tail)	-2.722	2.946	-0.924	0.3556

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.459	0.361	0.425	0.796

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	1.06

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.241	0.091

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.862	0.041	-21.263	0.0000
|log-return|	-90.793	2.744	-33.089	0.0000
I(right-tail)	0.191	0.057	3.354	0.0008
|log-return|*I(right-tail)	-13.699	4.076	-3.361	0.0008

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.442	0.280	0.461	0.787

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	1.10

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.148	0.176

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.925	0.041	-22.415	0.0000
|log-return|	-80.874	2.504	-32.293	0.0000
I(right-tail)	0.281	0.056	4.981	0.0000
|log-return|*I(right-tail)	-16.237	3.685	-4.406	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.580	0.442	0.585	0.783

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	1.06

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.212	0.097

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.769	0.040	-19.182	0.0000
|log-return|	-59.354	1.751	-33.895	0.0000
I(right-tail)	0.075	0.057	1.315	0.1886
|log-return|*I(right-tail)	-2.102	2.511	-0.837	0.4026

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.668	0.753	0.882	0.768

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	0.28

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.188	0.116

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.018	0.037	-27.764	0.0000
|log-return|	-58.262	1.771	-32.904	0.0000
I(right-tail)	0.112	0.051	2.203	0.0277
|log-return|*I(right-tail)	-6.491	2.573	-2.523	0.0117

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.441	0.356	0.382	0.723

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	0.30

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.141	0.130

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.946	0.039	-24.112	0.0000
|log-return|	-82.396	2.518	-32.719	0.0000
I(right-tail)	0.177	0.054	3.293	0.0010
|log-return|*I(right-tail)	-7.566	3.603	-2.100	0.0358

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.429	0.791	0.869	0.700

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.06	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.05	0.06	0.05

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.083	0.097

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.922	0.043	-21.590	0.0000
|log-return|	-78.886	2.495	-31.616	0.0000
I(right-tail)	0.211	0.058	3.636	0.0003
|log-return|*I(right-tail)	-9.051	3.563	-2.540	0.0111

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.488	0.615	0.646	0.700

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.07	-0.06	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.05	0.07	1.61

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.140	0.103

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.058	0.037	-28.232	0.0000
|log-return|	-65.697	2.038	-32.232	0.0000
I(right-tail)	0.164	0.051	3.234	0.0012
|log-return|*I(right-tail)	-7.977	2.942	-2.711	0.0068

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.493	0.655	0.935	0.699

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.06	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.06	0.85

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.154	0.111

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.907	0.040	-22.669	0.0000
|log-return|	-78.418	2.381	-32.935	0.0000
I(right-tail)	0.245	0.055	4.440	0.0000
|log-return|*I(right-tail)	-14.611	3.519	-4.152	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.587	0.536	0.512	0.693

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.06	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	1.07

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.059	0.147

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.968	0.040	-24.477	0.0000
|log-return|	-70.719	2.184	-32.378	0.0000
I(right-tail)	0.315	0.055	5.753	0.0000
|log-return|*I(right-tail)	-17.251	3.282	-5.256	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.477	0.493	0.246	0.689

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.03	-0.03	-0.01	-0.01	0.00	0.00	0.01	0.01	0.02	0.03	1.10

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.260	0.083

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.967	0.041	-23.795	0.0000
|log-return|	-133.403	4.189	-31.843	0.0000
I(right-tail)	0.261	0.055	4.767	0.0000
|log-return|*I(right-tail)	-12.893	5.907	-2.183	0.0291

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.788	0.919	0.958	0.686

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	0.40

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.047	0.199

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.841	0.041	-20.585	0.0000
|log-return|	-95.043	2.853	-33.308	0.0000
I(right-tail)	0.205	0.056	3.643	0.0003
|log-return|*I(right-tail)	-10.209	4.081	-2.501	0.0124

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.419	0.657	0.817	0.680

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.04	-0.04	-0.02	-0.01	0.00	0.00	0.01	0.02	0.03	0.04	1.19

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.370	0.078

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.942	0.041	-23.059	0.0000
|log-return|	-104.008	3.226	-32.244	0.0000
I(right-tail)	0.178	0.055	3.257	0.0011
|log-return|*I(right-tail)	-6.230	4.574	-1.362	0.1734

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.678	0.924	0.962	0.671

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	0.50

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.130	0.147

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.900	0.040	-22.409	0.0000
|log-return|	-89.417	2.717	-32.906	0.0000
I(right-tail)	0.160	0.055	2.887	0.0039
|log-return|*I(right-tail)	-8.275	3.898	-2.123	0.0339

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.447	0.704	0.792	0.662

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	0.73

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.158	0.126

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.978	0.037	-26.334	0.0000
|log-return|	-60.849	1.844	-32.991	0.0000
I(right-tail)	0.066	0.052	1.279	0.2009
|log-return|*I(right-tail)	-5.965	2.689	-2.219	0.0266

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.510	0.332	0.577	0.659

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	0.13

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.086	0.153

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.895	0.041	-21.652	0.0000
|log-return|	-91.790	2.831	-32.422	0.0000
I(right-tail)	0.197	0.056	3.498	0.0005
|log-return|*I(right-tail)	-7.069	3.987	-1.773	0.0763

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.629	0.492	0.637	0.655

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	0.50

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.199	0.148

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.844	0.041	-20.801	0.0000
|log-return|	-90.237	2.712	-33.270	0.0000
I(right-tail)	0.142	0.056	2.548	0.0109
|log-return|*I(right-tail)	-2.456	3.781	-0.650	0.5161

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.539	0.432	0.563	0.637

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	1.85

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.010	0.128

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.714	0.043	-16.577	0.0000
|log-return|	-88.795	2.649	-33.524	0.0000
I(right-tail)	0.146	0.059	2.476	0.0134
|log-return|*I(right-tail)	-6.721	3.752	-1.791	0.0733

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.608	0.501	0.557	0.629

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.05	0.05	-0.22

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.144	0.104

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.819	0.042	-19.694	0.0000
|log-return|	-89.815	2.713	-33.111	0.0000
I(right-tail)	0.121	0.056	2.165	0.0305
|log-return|*I(right-tail)	-2.182	3.743	-0.583	0.5599

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.349	0.463	0.553	0.620

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.03	-0.02	-0.01	0.00	0.00	0.01	0.02	0.03	0.04	0.35

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.387	0.097

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.899	0.041	-22.209	0.0000
|log-return|	-111.801	3.429	-32.601	0.0000
I(right-tail)	0.240	0.056	4.312	0.0000
|log-return|*I(right-tail)	-14.770	4.958	-2.979	0.0029

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.552	0.837	0.919	0.606

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.08	0.10	1.45

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.131	0.098

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.040	0.036	-29.292	0.0000
|log-return|	-51.179	1.558	-32.843	0.0000
I(right-tail)	0.014	0.050	0.285	0.7755
|log-return|*I(right-tail)	0.493	2.178	0.226	0.8210

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.533	0.425	0.545	0.605

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	0.39

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.009	0.159

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.649	0.042	-15.274	0.0000
|log-return|	-78.122	2.274	-34.355	0.0000
I(right-tail)	0.105	0.060	1.742	0.0816
|log-return|*I(right-tail)	-5.163	3.278	-1.575	0.1153

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.549	0.460	0.590	0.604

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.04	-0.03	-0.02	-0.01	0.00	0.00	0.01	0.02	0.03	0.04	0.17

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.263	0.099

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.896	0.041	-21.763	0.0000
|log-return|	-110.840	3.421	-32.400	0.0000
I(right-tail)	0.233	0.057	4.091	0.0000
|log-return|*I(right-tail)	-14.377	4.970	-2.893	0.0039

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.688	0.343	0.664	0.603

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.04	-0.03	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.04	0.74

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.645	0.074

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.842	0.044	-19.268	0.0000
|log-return|	-120.440	3.765	-31.986	0.0000
I(right-tail)	0.017	0.059	0.295	0.7684
|log-return|*I(right-tail)	14.883	5.007	2.973	0.0030

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.645	0.943	0.934	0.603

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	0.84

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.013	0.226

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.721	0.044	-16.468	0.0000
|log-return|	-80.860	2.438	-33.164	0.0000
I(right-tail)	0.154	0.060	2.590	0.0097
|log-return|*I(right-tail)	-9.022	3.492	-2.584	0.0098

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.640	0.574	0.552	0.595

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	0.62

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.056	0.185

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.797	0.042	-18.859	0.0000
|log-return|	-82.414	2.490	-33.097	0.0000
I(right-tail)	0.191	0.057	3.336	0.0009
|log-return|*I(right-tail)	-11.206	3.586	-3.125	0.0018

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.554	0.573	0.410	0.586

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.06	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	1.62

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.080	0.098

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.951	0.040	-23.967	0.0000
|log-return|	-67.106	2.059	-32.598	0.0000
I(right-tail)	0.333	0.055	6.016	0.0000
|log-return|*I(right-tail)	-18.792	3.148	-5.970	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.444	0.467	0.300	0.580

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.03	0.04	0.78

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.022	0.114

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.752	0.041	-18.221	0.0000
|log-return|	-93.139	2.762	-33.724	0.0000
I(right-tail)	0.234	0.059	3.961	0.0001
|log-return|*I(right-tail)	-13.311	4.091	-3.254	0.0012

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.641	0.875	0.926	0.569

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.09	-0.07	-0.04	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	0.61

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.148	0.108

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.882	0.040	-22.090	0.0000
|log-return|	-50.145	1.531	-32.755	0.0000
I(right-tail)	0.312	0.057	5.505	0.0000
|log-return|*I(right-tail)	-15.289	2.386	-6.407	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.532	0.341	0.537	0.566

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.09	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	0.58

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.050	0.079

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.971	0.038	-25.782	0.0000
|log-return|	-49.448	1.519	-32.551	0.0000
I(right-tail)	0.264	0.054	4.886	0.0000
|log-return|*I(right-tail)	-13.140	2.364	-5.557	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.585	0.348	0.306	0.551

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.06	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	1.21

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.202	0.083

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.960	0.040	-24.240	0.0000
|log-return|	-80.010	2.480	-32.258	0.0000
I(right-tail)	0.198	0.054	3.691	0.0002
|log-return|*I(right-tail)	-10.719	3.591	-2.985	0.0029

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.845	0.924	0.628	0.528

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.09	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	1.31

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.036	0.083

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.977	0.038	-25.563	0.0000
|log-return|	-52.121	1.607	-32.442	0.0000
I(right-tail)	0.300	0.054	5.528	0.0000
|log-return|*I(right-tail)	-15.041	2.502	-6.011	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.562	0.363	0.450	0.522

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.06	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.05	0.82

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.344	0.094

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.945	0.040	-23.568	0.0000
|log-return|	-86.099	2.679	-32.140	0.0000
I(right-tail)	0.321	0.056	5.730	0.0000
|log-return|*I(right-tail)	-20.374	4.030	-5.055	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.586	0.440	0.644	0.512

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.09	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.07	0.60

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.091	0.088

Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.979	0.039	-25.258	0.0000
|log-return|	-53.270	1.650	-32.290	0.0000
I(right-tail)	0.314	0.055	5.724	0.0000
|log-return|*I(right-tail)	-15.958	2.574	-6.201	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.580	0.414	0.384	0.429