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	-0.04	-0.02	-0.01	0.00	0.01	0.03	0.07	0.09	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.045	0.206

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.897	0.056	-16.108	0.0000
|log-return|	-57.719	2.460	-23.459	0.0000
I(right-tail)	0.117	0.076	1.539	0.1242
|log-return|*I(right-tail)	-1.996	3.431	-0.582	0.5608

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	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.04	0.06	0.59

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.249	0.210

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	0.057	-14.728	0.0000
|log-return|	-73.418	3.121	-23.526	0.0000
I(right-tail)	0.167	0.079	2.124	0.0339
|log-return|*I(right-tail)	-9.945	4.558	-2.182	0.0293

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
-0.09	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.07	0.10	1.48

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.085	0.246

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.808	0.057	-14.162	0.0000
|log-return|	-51.052	2.151	-23.738	0.0000
I(right-tail)	0.133	0.079	1.669	0.0954
|log-return|*I(right-tail)	-5.840	3.136	-1.863	0.0628

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
-0.11	-0.07	-0.04	-0.02	-0.01	0.00	0.01	0.04	0.08	0.09	0.67

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.085	0.171

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	0.054	-17.547	0.0000
|log-return|	-48.050	2.056	-23.375	0.0000
I(right-tail)	0.158	0.075	2.118	0.0344
|log-return|*I(right-tail)	-7.883	3.042	-2.591	0.0097

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.55

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.023	0.260

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.835	0.058	-14.401	0.0000
|log-return|	-67.573	2.889	-23.389	0.0000
I(right-tail)	0.206	0.080	2.592	0.0097
|log-return|*I(right-tail)	-10.069	4.197	-2.399	0.0166

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	-0.07	-0.04	-0.02	-0.01	0.00	0.01	0.04	0.06	0.07	1.02

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.146	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	-0.847	0.056	-15.254	0.0000
|log-return|	-57.022	2.396	-23.796	0.0000
I(right-tail)	0.126	0.077	1.626	0.1043
|log-return|*I(right-tail)	-4.222	3.439	-1.228	0.2197

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.05	0.05	1.10

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.241	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	-0.845	0.056	-15.052	0.0000
|log-return|	-73.444	3.102	-23.679	0.0000
I(right-tail)	0.140	0.079	1.755	0.0795
|log-return|*I(right-tail)	-10.423	4.655	-2.239	0.0253

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.07	2.16

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.151	0.219

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.878	0.058	-15.144	0.0000
|log-return|	-65.152	2.819	-23.113	0.0000
I(right-tail)	0.236	0.080	2.960	0.0031
|log-return|*I(right-tail)	-13.452	4.196	-3.206	0.0014

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
-0.10	-0.07	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.10	1.63

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.216	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	-0.767	0.055	-13.892	0.0000
|log-return|	-49.635	2.058	-24.116	0.0000
I(right-tail)	-0.025	0.078	-0.325	0.7451
|log-return|*I(right-tail)	0.180	2.929	0.061	0.9511

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
-0.10	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.10	0.40

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.192	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	-0.924	0.054	-17.079	0.0000
|log-return|	-46.583	1.986	-23.458	0.0000
I(right-tail)	0.108	0.075	1.448	0.1480
|log-return|*I(right-tail)	-6.160	2.909	-2.117	0.0344

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.45

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.137	0.158

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.940	0.056	-16.908	0.0000
|log-return|	-65.469	2.830	-23.132	0.0000
I(right-tail)	0.180	0.076	2.372	0.0178
|log-return|*I(right-tail)	-6.100	4.041	-1.510	0.1313

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
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.09

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.083	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	-0.947	0.057	-16.623	0.0000
|log-return|	-65.024	2.864	-22.705	0.0000
I(right-tail)	0.147	0.078	1.891	0.0589
|log-return|*I(right-tail)	-7.512	4.145	-1.812	0.0702

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
-0.08	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.07	0.09	2.21

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.133	0.139

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.994	0.054	-18.266	0.0000
|log-return|	-52.332	2.278	-22.972	0.0000
I(right-tail)	0.152	0.074	2.070	0.0386
|log-return|*I(right-tail)	-6.393	3.284	-1.946	0.0518

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
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	1.15

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.153	0.218

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.867	0.057	-15.185	0.0000
|log-return|	-62.986	2.696	-23.364	0.0000
I(right-tail)	0.193	0.079	2.458	0.0141
|log-return|*I(right-tail)	-11.596	3.999	-2.900	0.0038

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
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	1.41

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.058	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	-0.948	0.055	-17.082	0.0000
|log-return|	-56.938	2.469	-23.057	0.0000
I(right-tail)	0.285	0.077	3.701	0.0002
|log-return|*I(right-tail)	-15.148	3.780	-4.008	0.0001

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
-0.05	-0.03	-0.02	-0.01	0.00	0.00	0.01	0.02	0.03	0.04	1.54

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.258	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	-0.960	0.057	-16.791	0.0000
|log-return|	-106.521	4.712	-22.607	0.0000
I(right-tail)	0.214	0.076	2.794	0.0053
|log-return|*I(right-tail)	-9.383	6.640	-1.413	0.1579

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.67

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.042	0.239

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.835	0.057	-14.572	0.0000
|log-return|	-76.767	3.258	-23.559	0.0000
I(right-tail)	0.201	0.079	2.525	0.0117
|log-return|*I(right-tail)	-9.117	4.704	-1.938	0.0528

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
-0.06	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	2.34

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.372	0.086

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	0.057	-16.424	0.0000
|log-return|	-86.802	3.781	-22.956	0.0000
I(right-tail)	0.055	0.075	0.737	0.4616
|log-return|*I(right-tail)	1.179	5.255	0.224	0.8225

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	1.17

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.129	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	-0.880	0.057	-15.455	0.0000
|log-return|	-71.873	3.087	-23.286	0.0000
I(right-tail)	0.175	0.079	2.234	0.0257
|log-return|*I(right-tail)	-7.738	4.448	-1.739	0.0822

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
-0.10	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.07	0.08	1.07

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.164	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	-0.966	0.054	-17.876	0.0000
|log-return|	-49.069	2.131	-23.026	0.0000
I(right-tail)	0.138	0.075	1.833	0.0671
|log-return|*I(right-tail)	-9.239	3.208	-2.880	0.0040

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.25

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.087	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	-0.881	0.058	-15.234	0.0000
|log-return|	-74.241	3.221	-23.052	0.0000
I(right-tail)	0.194	0.080	2.442	0.0148
|log-return|*I(right-tail)	-9.045	4.658	-1.942	0.0524

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	1.21

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.194	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	-0.882	0.057	-15.522	0.0000
|log-return|	-74.132	3.189	-23.247	0.0000
I(right-tail)	0.135	0.077	1.756	0.0793
|log-return|*I(right-tail)	-1.739	4.421	-0.393	0.6942

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	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	2.10

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.011	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	-0.755	0.059	-12.897	0.0000
|log-return|	-77.423	3.259	-23.755	0.0000
I(right-tail)	0.122	0.081	1.505	0.1325
|log-return|*I(right-tail)	-4.760	4.636	-1.027	0.3048

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.46

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.130	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	-0.826	0.059	-13.897	0.0000
|log-return|	-74.376	3.221	-23.092	0.0000
I(right-tail)	0.132	0.079	1.672	0.0947
|log-return|*I(right-tail)	-2.086	4.417	-0.472	0.6369

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
-0.06	-0.05	-0.02	-0.01	0.00	0.00	0.01	0.02	0.04	0.05	0.42

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.375	0.113

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.943	0.057	-16.534	0.0000
|log-return|	-88.763	3.900	-22.762	0.0000
I(right-tail)	0.278	0.078	3.574	0.0004
|log-return|*I(right-tail)	-14.459	5.680	-2.546	0.0110

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
-0.11	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.10	0.14	2.39

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.129	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	-0.931	0.052	-17.896	0.0000
|log-return|	-40.860	1.725	-23.683	0.0000
I(right-tail)	0.000	0.073	-0.001	0.9989
|log-return|*I(right-tail)	0.147	2.432	0.061	0.9518

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
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	1.04

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.008	0.179

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.670	0.059	-11.307	0.0000
|log-return|	-66.658	2.759	-24.161	0.0000
I(right-tail)	0.095	0.084	1.131	0.2585
|log-return|*I(right-tail)	-4.583	3.996	-1.147	0.2516

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	0.04	0.05	0.29

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.251	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	-0.900	0.058	-15.486	0.0000
|log-return|	-88.298	3.863	-22.857	0.0000
I(right-tail)	0.225	0.079	2.840	0.0046
|log-return|*I(right-tail)	-13.716	5.644	-2.430	0.0152

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
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.04	1.27

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.206	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	-0.925	0.060	-15.504	0.0000
|log-return|	-97.829	4.372	-22.376	0.0000
I(right-tail)	0.258	0.082	3.168	0.0016
|log-return|*I(right-tail)	-12.199	6.269	-1.946	0.0519

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	1.13

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.011	0.243

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.755	0.060	-12.679	0.0000
|log-return|	-69.044	2.933	-23.537	0.0000
I(right-tail)	0.129	0.082	1.569	0.1170
|log-return|*I(right-tail)	-8.277	4.260	-1.943	0.0522

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.78

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.056	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	-0.853	0.057	-14.862	0.0000
|log-return|	-68.646	2.936	-23.377	0.0000
I(right-tail)	0.184	0.079	2.333	0.0198
|log-return|*I(right-tail)	-10.233	4.290	-2.385	0.0172

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
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	2.17

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.072	0.187

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.920	0.056	-16.487	0.0000
|log-return|	-54.679	2.357	-23.201	0.0000
I(right-tail)	0.264	0.078	3.402	0.0007
|log-return|*I(right-tail)	-14.948	3.625	-4.123	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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	1.28

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.177	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	-0.801	0.057	-13.980	0.0000
|log-return|	-83.303	3.510	-23.733	0.0000
I(right-tail)	0.241	0.082	2.941	0.0033
|log-return|*I(right-tail)	-10.605	5.180	-2.047	0.0408

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
-0.11	-0.09	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.09	0.70

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.144	0.113

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.921	0.054	-17.009	0.0000
|log-return|	-40.014	1.715	-23.326	0.0000
I(right-tail)	0.243	0.077	3.145	0.0017
|log-return|*I(right-tail)	-13.162	2.738	-4.807	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
-0.12	-0.09	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.10	0.81

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.045	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	-1.003	0.051	-19.656	0.0000
|log-return|	-38.977	1.675	-23.277	0.0000
I(right-tail)	0.153	0.073	2.097	0.0362
|log-return|*I(right-tail)	-9.621	2.622	-3.669	0.0003

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
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.05	0.06	1.31

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.196	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	-1.031	0.055	-18.640	0.0000
|log-return|	-63.426	2.832	-22.394	0.0000
I(right-tail)	0.192	0.074	2.611	0.0091
|log-return|*I(right-tail)	-9.198	4.096	-2.246	0.0249

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
-0.11	-0.09	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.09	1.53

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.032	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	-0.955	0.052	-18.407	0.0000
|log-return|	-41.693	1.771	-23.537	0.0000
I(right-tail)	0.190	0.075	2.535	0.0114
|log-return|*I(right-tail)	-10.906	2.794	-3.903	0.0001

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
-0.07	-0.06	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	1.54

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.340	0.113

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.923	0.056	-16.400	0.0000
|log-return|	-70.803	3.096	-22.867	0.0000
I(right-tail)	0.268	0.079	3.410	0.0007
|log-return|*I(right-tail)	-15.666	4.674	-3.352	0.0008

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
-0.11	-0.09	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.07	0.09	0.91

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.074	0.164

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	0.052	-18.045	0.0000
|log-return|	-42.877	1.823	-23.520	0.0000
I(right-tail)	0.196	0.076	2.584	0.0099
|log-return|*I(right-tail)	-11.396	2.881	-3.955	0.0001

Hurst exponent (of daily return price)

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