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	0.00	0.01	0.01	0.01	2.52

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.387	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	-0.774	0.091	-8.544	0.0000
|log-return|	-200.603	13.739	-14.601	0.0000
I(right-tail)	0.130	0.130	1.006	0.3148
|log-return|*I(right-tail)	-80.430	23.055	-3.489	0.0005

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.091	0.541	0.723	0.936

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	2.41

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.192	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	-0.833	0.094	-8.880	0.0000
|log-return|	-79.514	5.578	-14.255	0.0000
I(right-tail)	0.290	0.129	2.236	0.0258
|log-return|*I(right-tail)	-21.840	8.487	-2.573	0.0104

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.467	0.432	0.449	0.751

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	0.05	2.15

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.038	0.102

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.017	0.090	-11.333	0.0000
|log-return|	-84.104	6.120	-13.743	0.0000
I(right-tail)	0.301	0.121	2.487	0.0132
|log-return|*I(right-tail)	-14.743	8.838	-1.668	0.0959

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.593	0.850	0.832	0.726

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	0.05	2.26

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.325	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	-0.851	0.088	-9.703	0.0000
|log-return|	-77.528	5.279	-14.687	0.0000
I(right-tail)	0.218	0.125	1.735	0.0834
|log-return|*I(right-tail)	-12.555	7.878	-1.594	0.1116

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.481	0.341	0.555	0.688

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	2.10

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.239	0.242

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	0.085	-7.844	0.0000
|log-return|	-119.060	7.572	-15.723	0.0000
I(right-tail)	-0.210	0.125	-1.672	0.0951
|log-return|*I(right-tail)	16.038	10.451	1.535	0.1255

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.406	0.557	0.881	0.682

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	0.03	3.78

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.723	0.136

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.958	0.087	-11.070	0.0000
|log-return|	-88.004	6.265	-14.047	0.0000
I(right-tail)	0.365	0.124	2.945	0.0034
|log-return|*I(right-tail)	-44.186	10.465	-4.222	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.703	0.640	0.767	0.672

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	0.03	2.56

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.357	0.241

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	0.091	-10.324	0.0000
|log-return|	-100.430	7.156	-14.034	0.0000
I(right-tail)	0.350	0.125	2.800	0.0053
|log-return|*I(right-tail)	-25.544	10.611	-2.407	0.0164

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.416	0.511	0.863	0.668

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.02	-0.02	-0.01	0.00	0.00	0.00	0.00	0.01	0.02	0.02	2.69

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.326	0.184

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.062	0.086	-12.336	0.0000
|log-return|	-181.256	13.254	-13.676	0.0000
I(right-tail)	0.407	0.122	3.346	0.0009
|log-return|*I(right-tail)	-29.503	18.858	-1.565	0.1183

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.807	0.863	0.628	0.665

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	0.78

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.266	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	-0.790	0.093	-8.462	0.0000
|log-return|	-104.568	7.208	-14.507	0.0000
I(right-tail)	0.241	0.132	1.829	0.0679
|log-return|*I(right-tail)	-14.074	10.475	-1.344	0.1797

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.409	0.502	0.648	0.634

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	0.04	0.04	1.40

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.129	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	-0.605	0.094	-6.455	0.0000
|log-return|	-113.554	7.423	-15.297	0.0000
I(right-tail)	-0.109	0.134	-0.816	0.4150
|log-return|*I(right-tail)	6.891	10.376	0.664	0.5069

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.398	0.503	0.696	0.628

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	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.320	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	-0.788	0.090	-8.798	0.0000
|log-return|	-76.360	5.167	-14.779	0.0000
I(right-tail)	0.134	0.128	1.052	0.2932
|log-return|*I(right-tail)	-12.614	7.780	-1.621	0.1056

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.513	0.491	0.616	0.592

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.01	-0.01	-0.01	-0.01	0.00	0.00	0.00	0.01	0.01	0.01	2.11

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.324	0.306

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.565	0.104	-5.446	0.0000
|log-return|	-302.609	20.742	-14.589	0.0000
I(right-tail)	0.161	0.145	1.110	0.2677
|log-return|*I(right-tail)	-60.493	31.404	-1.926	0.0546

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.513	0.757	0.784	0.538

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.02	-0.01	-0.01	-0.01	0.00	0.00	0.00	0.01	0.01	0.01	5.88

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.340	0.253

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	0.094	-6.911	0.0000
|log-return|	-268.174	17.793	-15.072	0.0000
I(right-tail)	0.129	0.136	0.952	0.3417
|log-return|*I(right-tail)	-47.485	27.319	-1.738	0.0828

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.615	0.404	0.614	0.524

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.02	-0.02	-0.01	-0.01	0.00	0.00	0.00	0.01	0.01	0.02	4.38

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.129	0.275

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.589	0.097	-6.099	0.0000
|log-return|	-219.984	14.582	-15.086	0.0000
I(right-tail)	0.106	0.140	0.759	0.4483
|log-return|*I(right-tail)	-47.599	22.919	-2.077	0.0383

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.450	0.531	0.557	0.518

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.02	-0.02	-0.01	-0.01	0.00	0.00	0.00	0.01	0.02	0.02	3.86

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.601	0.142

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.085	0.079	-13.792	0.0000
|log-return|	-112.626	8.883	-12.679	0.0000
I(right-tail)	0.333	0.120	2.776	0.0057
|log-return|*I(right-tail)	-75.427	15.560	-4.848	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.386	0.422	0.454	0.430

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	0.03	3.26

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.391	0.173

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.749	0.091	-8.238	0.0000
|log-return|	-98.289	6.621	-14.846	0.0000
I(right-tail)	0.203	0.132	1.532	0.1261
|log-return|*I(right-tail)	-30.043	10.678	-2.813	0.0051

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.602	0.685	0.563	0.404

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	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.04	3.36

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.283	0.221

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.654	0.102	-6.395	0.0000
|log-return|	-133.370	9.356	-14.255	0.0000
I(right-tail)	0.134	0.137	0.980	0.3273
|log-return|*I(right-tail)	3.957	12.427	0.318	0.7503

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.718	0.774	0.557	0.368

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	0.05	3.21

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.220	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	-0.779	0.094	-8.264	0.0000
|log-return|	-69.761	4.818	-14.479	0.0000
I(right-tail)	0.240	0.132	1.822	0.0691
|log-return|*I(right-tail)	-20.012	7.483	-2.674	0.0077

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.578	0.580	0.321	0.353

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.02	-0.02	-0.01	-0.01	0.00	0.00	0.00	0.01	0.02	0.02	2.05

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.015	0.215

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.658	0.096	-6.841	0.0000
|log-return|	-194.080	13.043	-14.880	0.0000
I(right-tail)	0.097	0.135	0.717	0.4737
|log-return|*I(right-tail)	-9.305	18.559	-0.501	0.6163

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.529	0.698	0.494	0.332