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	-0.01	-0.01	0.00	0.01	0.02	0.04	0.04	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.190	0.233

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.868	0.093	-9.360	0.0000
|log-return|	-93.090	6.523	-14.271	0.0000
I(right-tail)	0.232	0.127	1.828	0.0681
|log-return|*I(right-tail)	-8.771	9.249	-0.948	0.3434

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
-0.06	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.04	2.41

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.347	0.254

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.916	0.092	-9.998	0.0000
|log-return|	-84.560	6.041	-13.999	0.0000
I(right-tail)	0.337	0.126	2.682	0.0076
|log-return|*I(right-tail)	-23.387	9.033	-2.589	0.0099

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	1.38

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.416	0.198

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.767	0.093	-8.256	0.0000
|log-return|	-72.639	4.967	-14.623	0.0000
I(right-tail)	0.265	0.134	1.980	0.0482
|log-return|*I(right-tail)	-18.946	7.732	-2.450	0.0146

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
-0.06	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	3.51

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.092	0.212

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.916	0.089	-10.252	0.0000
|log-return|	-66.780	4.662	-14.325	0.0000
I(right-tail)	0.188	0.122	1.541	0.1240
|log-return|*I(right-tail)	-8.413	6.706	-1.254	0.2103

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	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	2.16

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.057	0.266

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.828	0.093	-8.886	0.0000
|log-return|	-90.995	6.311	-14.419	0.0000
I(right-tail)	0.256	0.129	1.986	0.0476
|log-return|*I(right-tail)	-13.515	9.152	-1.477	0.1404

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
-0.05	-0.04	-0.03	-0.01	-0.01	0.00	0.01	0.02	0.04	0.04	1.58

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.376	0.178

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.865	0.090	-9.606	0.0000
|log-return|	-83.577	5.776	-14.471	0.0000
I(right-tail)	0.387	0.131	2.953	0.0033
|log-return|*I(right-tail)	-19.821	8.764	-2.262	0.0242

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	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	3.44

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.360	0.294

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.799	0.092	-8.701	0.0000
|log-return|	-88.618	6.060	-14.623	0.0000
I(right-tail)	0.213	0.132	1.611	0.1078
|log-return|*I(right-tail)	-20.912	9.398	-2.225	0.0265

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
-0.06	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	3.17

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.380	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	-0.874	0.090	-9.688	0.0000
|log-return|	-81.527	5.659	-14.407	0.0000
I(right-tail)	0.295	0.127	2.319	0.0208
|log-return|*I(right-tail)	-19.725	8.573	-2.301	0.0218

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	2.23

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.531	0.197

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.610	0.093	-6.556	0.0000
|log-return|	-66.830	4.420	-15.119	0.0000
I(right-tail)	0.028	0.137	0.204	0.8385
|log-return|*I(right-tail)	-14.559	7.058	-2.063	0.0396

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	4.50

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.268	0.193

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.959	0.092	-10.420	0.0000
|log-return|	-67.552	4.856	-13.910	0.0000
I(right-tail)	0.214	0.121	1.765	0.0782
|log-return|*I(right-tail)	-11.315	6.950	-1.628	0.1042

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	-0.05	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.04	0.86

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.424	0.263

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.937	0.088	-10.632	0.0000
|log-return|	-88.263	6.185	-14.271	0.0000
I(right-tail)	0.446	0.128	3.474	0.0006
|log-return|*I(right-tail)	-30.018	9.726	-3.086	0.0021

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
-0.05	-0.03	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.04	1.90

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.393	0.165

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.839	0.097	-8.658	0.0000
|log-return|	-101.121	7.252	-13.944	0.0000
I(right-tail)	0.283	0.135	2.087	0.0374
|log-return|*I(right-tail)	-23.221	10.858	-2.139	0.0330

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
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.04	2.67

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.214	0.203

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.956	0.091	-10.481	0.0000
|log-return|	-86.197	6.208	-13.885	0.0000
I(right-tail)	0.285	0.123	2.309	0.0213
|log-return|*I(right-tail)	-14.851	8.915	-1.666	0.0964

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	0.03	0.04	0.05	3.75

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.196	0.271

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.823	0.089	-9.222	0.0000
|log-return|	-80.246	5.450	-14.723	0.0000
I(right-tail)	0.175	0.126	1.383	0.1672
|log-return|*I(right-tail)	-11.740	8.060	-1.457	0.1458

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	-0.04	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	1.90

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.288	0.167

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.873	0.088	-9.890	0.0000
|log-return|	-77.705	5.331	-14.576	0.0000
I(right-tail)	0.317	0.128	2.478	0.0136
|log-return|*I(right-tail)	-18.653	8.160	-2.286	0.0227

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
-0.04	-0.02	-0.01	-0.01	0.00	0.00	0.01	0.01	0.02	0.03	1.37

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.340	0.170

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.929	0.096	-9.672	0.0000
|log-return|	-142.470	10.437	-13.651	0.0000
I(right-tail)	0.421	0.130	3.244	0.0013
|log-return|*I(right-tail)	-29.273	14.846	-1.972	0.0492

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	-0.01	0.00	0.00	0.01	0.02	0.04	0.04	2.13

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.233	0.259

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.918	0.087	-10.568	0.0000
|log-return|	-88.546	6.097	-14.523	0.0000
I(right-tail)	0.307	0.125	2.463	0.0141
|log-return|*I(right-tail)	-15.293	9.034	-1.693	0.0911

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
-0.03	-0.02	-0.01	-0.01	0.00	0.00	0.01	0.01	0.02	0.03	2.26

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.323	0.138

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.931	0.095	-9.777	0.0000
|log-return|	-129.733	9.694	-13.383	0.0000
I(right-tail)	0.347	0.129	2.686	0.0075
|log-return|*I(right-tail)	-25.540	13.819	-1.848	0.0652

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	0.03	0.04	2.72

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.421	0.156

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	0.089	-10.340	0.0000
|log-return|	-93.055	6.522	-14.268	0.0000
I(right-tail)	0.430	0.130	3.302	0.0010
|log-return|*I(right-tail)	-31.680	10.293	-3.078	0.0022

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
-0.05	-0.05	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.06	2.46

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.224	0.118

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.975	0.094	-10.404	0.0000
|log-return|	-78.059	5.765	-13.539	0.0000
I(right-tail)	0.297	0.126	2.357	0.0188
|log-return|*I(right-tail)	-12.142	8.154	-1.489	0.1371

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	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	1.12

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.406	0.249

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.915	0.090	-10.115	0.0000
|log-return|	-82.907	5.891	-14.073	0.0000
I(right-tail)	0.307	0.127	2.412	0.0162
|log-return|*I(right-tail)	-19.352	8.817	-2.195	0.0287

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	2.29

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.129	0.224

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.817	0.094	-8.719	0.0000
|log-return|	-91.905	6.437	-14.278	0.0000
I(right-tail)	0.132	0.127	1.045	0.2967
|log-return|*I(right-tail)	3.512	8.599	0.408	0.6832

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
-0.06	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	2.94

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.028	0.186

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.699	0.092	-7.573	0.0000
|log-return|	-91.396	6.127	-14.918	0.0000
I(right-tail)	0.105	0.132	0.793	0.4280
|log-return|*I(right-tail)	-2.932	8.699	-0.337	0.7362

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
-0.04	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.03	1.90

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.238	0.177

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.817	0.095	-8.556	0.0000
|log-return|	-102.251	7.193	-14.214	0.0000
I(right-tail)	0.334	0.132	2.527	0.0118
|log-return|*I(right-tail)	-20.774	10.543	-1.970	0.0493

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
-0.04	-0.04	-0.02	-0.01	0.00	0.00	0.01	0.02	0.04	0.04	3.86

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.030	0.137

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.937	0.092	-10.188	0.0000
|log-return|	-100.671	7.221	-13.941	0.0000
I(right-tail)	0.307	0.125	2.469	0.0139
|log-return|*I(right-tail)	-10.035	10.081	-0.995	0.3200

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.05	0.05	3.40

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.361	0.146

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.919	0.089	-10.329	0.0000
|log-return|	-68.954	4.830	-14.276	0.0000
I(right-tail)	0.246	0.125	1.974	0.0490
|log-return|*I(right-tail)	-14.574	7.241	-2.013	0.0447

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	-0.04	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	3.57

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.132	0.273

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.544	0.096	-5.643	0.0000
|log-return|	-82.136	5.376	-15.280	0.0000
I(right-tail)	-0.003	0.139	-0.025	0.9801
|log-return|*I(right-tail)	0.280	7.681	0.036	0.9709

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
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.04	2.03

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.098	0.135

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.872	0.093	-9.371	0.0000
|log-return|	-97.230	6.853	-14.189	0.0000
I(right-tail)	0.180	0.127	1.424	0.1551
|log-return|*I(right-tail)	-7.941	9.749	-0.815	0.4158

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	0.00	0.00	0.01	0.02	0.03	0.04	2.90

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.221	0.162

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.944	0.094	-10.036	0.0000
|log-return|	-110.141	8.044	-13.692	0.0000
I(right-tail)	0.425	0.131	3.241	0.0013
|log-return|*I(right-tail)	-31.077	12.049	-2.579	0.0102

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
-0.06	-0.04	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	2.25

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.064	0.280

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.664	0.092	-7.206	0.0000
|log-return|	-80.225	5.326	-15.063	0.0000
I(right-tail)	-0.010	0.132	-0.073	0.9416
|log-return|*I(right-tail)	-3.693	7.740	-0.477	0.6335

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	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	1.47

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.212	0.186

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.719	0.092	-7.832	0.0000
|log-return|	-91.620	6.168	-14.854	0.0000
I(right-tail)	0.128	0.132	0.970	0.3327
|log-return|*I(right-tail)	-9.642	9.052	-1.065	0.2873

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	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.04	0.05	3.09

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.250	0.272

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.847	0.089	-9.559	0.0000
|log-return|	-77.553	5.289	-14.662	0.0000
I(right-tail)	0.218	0.127	1.719	0.0862
|log-return|*I(right-tail)	-15.350	8.009	-1.917	0.0559

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	0.04	0.04	2.07

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.494	0.191

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.846	0.090	-9.362	0.0000
|log-return|	-84.575	5.871	-14.404	0.0000
I(right-tail)	0.475	0.136	3.499	0.0005
|log-return|*I(right-tail)	-23.814	9.112	-2.614	0.0092

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
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	3.07

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.455	0.194

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.756	0.091	-8.295	0.0000
|log-return|	-61.328	4.144	-14.799	0.0000
I(right-tail)	0.213	0.132	1.621	0.1056
|log-return|*I(right-tail)	-15.022	6.453	-2.328	0.0203

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.04	0.04	4.13

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.440	0.169

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.836	0.089	-9.448	0.0000
|log-return|	-73.972	5.045	-14.662	0.0000
I(right-tail)	0.256	0.128	1.997	0.0463
|log-return|*I(right-tail)	-21.953	7.993	-2.746	0.0062

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
-0.04	-0.03	-0.02	-0.01	-0.01	0.00	0.01	0.01	0.03	0.04	2.27

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.365	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	-0.908	0.093	-9.773	0.0000
|log-return|	-106.837	7.683	-13.905	0.0000
I(right-tail)	0.375	0.129	2.919	0.0037
|log-return|*I(right-tail)	-34.859	11.776	-2.960	0.0032

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	3.77

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.482	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	-0.801	0.088	-9.114	0.0000
|log-return|	-69.485	4.681	-14.845	0.0000
I(right-tail)	0.215	0.129	1.669	0.0958
|log-return|*I(right-tail)	-16.395	7.296	-2.247	0.0251

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
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.05	3.51

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.315	0.149

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.872	0.092	-9.496	0.0000
|log-return|	-90.609	6.396	-14.168	0.0000
I(right-tail)	0.280	0.128	2.184	0.0294
|log-return|*I(right-tail)	-19.618	9.510	-2.063	0.0396

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.04	0.05	2.81

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.368	0.186

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.770	0.089	-8.705	0.0000
|log-return|	-70.778	4.733	-14.954	0.0000
I(right-tail)	0.183	0.131	1.397	0.1630
|log-return|*I(right-tail)	-15.548	7.411	-2.098	0.0364

Hurst exponent (of daily return price)

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