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	2.12

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.156	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	-0.716	0.054	-13.316	0.0000
|log-return|	-188.644	7.204	-26.187	0.0000
I(right-tail)	0.089	0.075	1.193	0.2329
|log-return|*I(right-tail)	-8.375	10.197	-0.821	0.4116

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	0.40

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.170	0.100

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	0.052	-16.535	0.0000
|log-return|	-66.572	2.582	-25.786	0.0000
I(right-tail)	0.085	0.070	1.205	0.2283
|log-return|*I(right-tail)	-5.043	3.718	-1.356	0.1752

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
-0.10	-0.08	-0.04	-0.02	-0.01	0.00	0.01	0.04	0.09	0.10	3.12

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.363	0.132

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.985	0.048	-20.580	0.0000
|log-return|	-42.981	1.685	-25.504	0.0000
I(right-tail)	0.125	0.066	1.884	0.0597
|log-return|*I(right-tail)	-4.744	2.439	-1.945	0.0520

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	0.11

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.342	0.231

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.806	0.052	-15.390	0.0000
|log-return|	-66.589	2.566	-25.951	0.0000
I(right-tail)	0.159	0.072	2.196	0.0282
|log-return|*I(right-tail)	-9.260	3.753	-2.468	0.0137

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
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.05	0.06	3.89

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.273	0.112

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.809	0.046	-17.483	0.0000
|log-return|	-83.054	3.067	-27.077	0.0000
I(right-tail)	-0.184	0.068	-2.706	0.0069
|log-return|*I(right-tail)	11.463	4.208	2.724	0.0065

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	2.50

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.120	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	-0.857	0.052	-16.383	0.0000
|log-return|	-92.848	3.630	-25.578	0.0000
I(right-tail)	0.245	0.073	3.368	0.0008
|log-return|*I(right-tail)	-14.527	5.338	-2.721	0.0066

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
-0.06	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	0.94

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.209	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	-0.950	0.051	-18.615	0.0000
|log-return|	-76.488	3.033	-25.215	0.0000
I(right-tail)	0.156	0.068	2.284	0.0225
|log-return|*I(right-tail)	-8.308	4.351	-1.909	0.0564

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
-0.04	-0.03	-0.01	-0.01	0.00	0.00	0.00	0.01	0.03	0.04	2.16

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.257	0.080

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.197	0.048	-25.121	0.0000
|log-return|	-108.115	4.564	-23.687	0.0000
I(right-tail)	0.237	0.064	3.706	0.0002
|log-return|*I(right-tail)	-7.087	6.393	-1.109	0.2678

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	1.64

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.147	0.175

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	0.053	-15.916	0.0000
|log-return|	-81.439	3.187	-25.552	0.0000
I(right-tail)	0.147	0.072	2.041	0.0415
|log-return|*I(right-tail)	-6.949	4.538	-1.531	0.1259

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
-0.05	-0.04	-0.02	-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
Laplace	0.333	0.172

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.739	0.048	-15.452	0.0000
|log-return|	-82.991	3.054	-27.176	0.0000
I(right-tail)	-0.082	0.072	-1.143	0.2532
|log-return|*I(right-tail)	-1.318	4.501	-0.293	0.7697

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
-0.09	-0.07	-0.04	-0.02	-0.01	0.00	0.01	0.03	0.07	0.08	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.118	0.087

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	0.050	-17.820	0.0000
|log-return|	-50.072	1.950	-25.683	0.0000
I(right-tail)	0.026	0.068	0.389	0.6975
|log-return|*I(right-tail)	0.352	2.715	0.130	0.8969

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	0.80

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.519	0.131

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.741	0.052	-14.279	0.0000
|log-return|	-186.907	7.140	-26.178	0.0000
I(right-tail)	0.196	0.076	2.580	0.0100
|log-return|*I(right-tail)	-52.583	11.386	-4.618	0.0000

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	2.39

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.145	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	-0.724	0.053	-13.588	0.0000
|log-return|	-187.148	7.093	-26.386	0.0000
I(right-tail)	0.141	0.075	1.866	0.0622
|log-return|*I(right-tail)	-21.000	10.426	-2.014	0.0442

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	0.98

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.109	0.192

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.591	0.056	-10.546	0.0000
|log-return|	-205.168	7.724	-26.562	0.0000
I(right-tail)	0.027	0.078	0.342	0.7322
|log-return|*I(right-tail)	-6.379	10.991	-0.580	0.5618

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	1.47

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.597	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	-0.844	0.052	-16.103	0.0000
|log-return|	-156.957	6.407	-24.499	0.0000
I(right-tail)	0.230	0.074	3.110	0.0019
|log-return|*I(right-tail)	-29.771	9.393	-3.169	0.0016

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.04	0.05	0.97

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.259	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	-0.738	0.052	-14.058	0.0000
|log-return|	-74.109	2.801	-26.460	0.0000
I(right-tail)	0.181	0.076	2.379	0.0175
|log-return|*I(right-tail)	-16.336	4.356	-3.750	0.0002

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	0.03	0.48

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.051	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	-0.573	0.059	-9.656	0.0000
|log-return|	-147.766	5.728	-25.799	0.0000
I(right-tail)	0.083	0.080	1.037	0.3001
|log-return|*I(right-tail)	5.302	7.698	0.689	0.4911

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	0.06	0.08	1.94

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.203	0.303

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.711	0.054	-13.283	0.0000
|log-return|	-58.331	2.210	-26.395	0.0000
I(right-tail)	0.127	0.075	1.687	0.0918
|log-return|*I(right-tail)	-6.889	3.250	-2.120	0.0342

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
-0.04	-0.03	-0.02	-0.01	0.00	0.00	0.01	0.02	0.03	0.03	0.43

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.013	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	-0.927	0.052	-17.846	0.0000
|log-return|	-111.580	4.452	-25.062	0.0000
I(right-tail)	0.292	0.072	4.071	0.0000
|log-return|*I(right-tail)	-24.428	6.640	-3.679	0.0002

Hurst exponent (of daily return price)

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