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	0.02	0.02	2.17

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.161	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	-0.725	0.059	-12.232	0.0000
|log-return|	-183.927	7.766	-23.682	0.0000
I(right-tail)	0.076	0.082	0.932	0.3514
|log-return|*I(right-tail)	-12.258	11.073	-1.107	0.2685

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
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	0.63

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.169	0.101

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.870	0.056	-15.651	0.0000
|log-return|	-62.944	2.669	-23.581	0.0000
I(right-tail)	0.079	0.076	1.029	0.3037
|log-return|*I(right-tail)	-4.237	3.847	-1.101	0.2709

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
-0.11	-0.08	-0.04	-0.02	-0.01	0.00	0.01	0.04	0.09	0.12	3.01

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.367	0.124

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.049	0.052	-20.000	0.0000
|log-return|	-39.565	1.732	-22.849	0.0000
I(right-tail)	0.179	0.072	2.500	0.0125
|log-return|*I(right-tail)	-5.889	2.517	-2.340	0.0195

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
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	0.13

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.343	0.228

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.854	0.057	-15.047	0.0000
|log-return|	-62.481	2.662	-23.473	0.0000
I(right-tail)	0.199	0.078	2.539	0.0112
|log-return|*I(right-tail)	-10.427	3.920	-2.660	0.0079

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
-0.06	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	3.95

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.273	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	-0.817	0.050	-16.485	0.0000
|log-return|	-79.331	3.196	-24.825	0.0000
I(right-tail)	-0.232	0.073	-3.162	0.0016
|log-return|*I(right-tail)	12.733	4.372	2.912	0.0037

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	0.04	2.55

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.119	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	-0.870	0.057	-15.367	0.0000
|log-return|	-90.638	3.889	-23.305	0.0000
I(right-tail)	0.210	0.079	2.669	0.0077
|log-return|*I(right-tail)	-12.740	5.697	-2.236	0.0255

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
-0.07	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.06	0.88

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.208	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	-0.995	0.056	-17.836	0.0000
|log-return|	-71.620	3.153	-22.717	0.0000
I(right-tail)	0.187	0.074	2.519	0.0119
|log-return|*I(right-tail)	-9.154	4.528	-2.022	0.0434

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
-0.05	-0.04	-0.01	-0.01	0.00	0.00	0.00	0.01	0.03	0.04	2.19

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.254	0.081

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.226	0.052	-23.525	0.0000
|log-return|	-100.413	4.677	-21.472	0.0000
I(right-tail)	0.263	0.070	3.784	0.0002
|log-return|*I(right-tail)	-7.404	6.538	-1.132	0.2577

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	-0.05	-0.03	-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
Laplace	-0.149	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	-0.887	0.057	-15.600	0.0000
|log-return|	-77.892	3.350	-23.250	0.0000
I(right-tail)	0.157	0.078	2.030	0.0425
|log-return|*I(right-tail)	-7.192	4.797	-1.499	0.1340

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
-0.06	-0.04	-0.02	-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	0.337	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	-0.767	0.052	-14.795	0.0000
|log-return|	-79.726	3.237	-24.627	0.0000
I(right-tail)	-0.108	0.078	-1.396	0.1629
|log-return|*I(right-tail)	-0.890	4.750	-0.187	0.8513

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
-0.10	-0.08	-0.04	-0.02	-0.01	0.00	0.01	0.03	0.08	0.09	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.123	0.133

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.938	0.053	-17.588	0.0000
|log-return|	-47.927	2.049	-23.387	0.0000
I(right-tail)	-0.005	0.073	-0.072	0.9428
|log-return|*I(right-tail)	1.422	2.845	0.500	0.6173

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
-0.03	-0.02	-0.01	-0.01	0.00	0.00	0.00	0.01	0.02	0.02	0.77

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.514	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	-0.736	0.056	-13.187	0.0000
|log-return|	-178.816	7.432	-24.060	0.0000
I(right-tail)	0.171	0.083	2.051	0.0405
|log-return|*I(right-tail)	-47.863	11.935	-4.010	0.0001

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	-0.02	-0.01	-0.01	0.00	0.00	0.00	0.01	0.02	0.02	2.45

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.149	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	-0.721	0.058	-12.497	0.0000
|log-return|	-185.981	7.696	-24.166	0.0000
I(right-tail)	0.090	0.082	1.108	0.2680
|log-return|*I(right-tail)	-16.921	11.269	-1.501	0.1335

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	0.02	0.02	0.95

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.120	0.207

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.538	0.062	-8.633	0.0000
|log-return|	-199.429	8.197	-24.329	0.0000
I(right-tail)	-0.043	0.087	-0.501	0.6162
|log-return|*I(right-tail)	-1.595	11.603	-0.138	0.8907

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
-0.03	-0.02	-0.01	-0.01	0.00	0.00	0.00	0.01	0.02	0.02	1.67

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.590	0.106

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	0.057	-14.868	0.0000
|log-return|	-150.126	6.731	-22.305	0.0000
I(right-tail)	0.201	0.081	2.487	0.0130
|log-return|*I(right-tail)	-29.424	9.952	-2.957	0.0032

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.93

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.253	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	-0.716	0.057	-12.483	0.0000
|log-return|	-71.879	2.962	-24.263	0.0000
I(right-tail)	0.103	0.082	1.257	0.2091
|log-return|*I(right-tail)	-15.050	4.610	-3.264	0.0011

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	0.47

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.054	0.201

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.566	0.066	-8.583	0.0000
|log-return|	-141.808	6.077	-23.336	0.0000
I(right-tail)	0.078	0.089	0.878	0.3800
|log-return|*I(right-tail)	5.185	8.126	0.638	0.5235

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
-0.08	-0.07	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.07	0.08	2.09

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.200	0.304

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.698	0.058	-12.046	0.0000
|log-return|	-55.484	2.285	-24.284	0.0000
I(right-tail)	0.060	0.082	0.733	0.4638
|log-return|*I(right-tail)	-6.558	3.400	-1.929	0.0540

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
-0.05	-0.03	-0.02	-0.01	0.00	0.00	0.01	0.02	0.03	0.04	0.45

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.005	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	-0.922	0.056	-16.543	0.0000
|log-return|	-108.220	4.696	-23.046	0.0000
I(right-tail)	0.229	0.077	2.961	0.0031
|log-return|*I(right-tail)	-19.024	6.943	-2.740	0.0062

Hurst exponent (of daily return price)

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