Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.13	-0.11	-0.06	-0.04	-0.02	0.00	0.02	0.06	0.12	0.13	0.47

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.658	0.062

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	0.037	-23.359	0.0000
|log-return|	-31.335	0.918	-34.118	0.0000
I(right-tail)	-0.153	0.052	-2.931	0.0034
|log-return|*I(right-tail)	5.611	1.236	4.539	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.428	0.836	0.844	0.782

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	-0.03	-0.01	0.00	0.01	0.04	0.07	0.09	0.75

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.452	0.099

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	0.040	-18.513	0.0000
|log-return|	-52.061	1.514	-34.394	0.0000
I(right-tail)	0.002	0.056	0.034	0.9730
|log-return|*I(right-tail)	1.112	2.136	0.521	0.6025

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.748	0.841	0.912	0.777

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	0.08	0.10	0.87

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.036	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	-0.905	0.038	-23.725	0.0000
|log-return|	-48.466	1.450	-33.428	0.0000
I(right-tail)	0.078	0.053	1.466	0.1428
|log-return|*I(right-tail)	-2.237	2.068	-1.081	0.2796

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.155	0.299	0.774	0.758

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	-0.03	-0.01	0.00	0.01	0.04	0.07	0.08	0.26

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.333	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	-0.699	0.040	-17.321	0.0000
|log-return|	-58.402	1.688	-34.599	0.0000
I(right-tail)	-0.046	0.057	-0.809	0.4183
|log-return|*I(right-tail)	3.773	2.337	1.614	0.1066

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.521	0.671	0.644	0.725

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	-0.05	-0.03	-0.01	0.00	0.02	0.05	0.08	0.11	0.27

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.091	0.104

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.811	0.042	-19.256	0.0000
|log-return|	-43.486	1.319	-32.977	0.0000
I(right-tail)	0.156	0.058	2.707	0.0068
|log-return|*I(right-tail)	-0.195	1.814	-0.107	0.9145

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.732	0.635	0.652	0.695

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	0.07	0.08	0.08

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.038	0.098

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	0.038	-23.886	0.0000
|log-return|	-44.849	1.377	-32.573	0.0000
I(right-tail)	0.288	0.055	5.188	0.0000
|log-return|*I(right-tail)	-12.097	2.127	-5.688	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.602	0.509	0.468	0.685

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	0.58

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.103	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	-0.873	0.039	-22.368	0.0000
|log-return|	-70.126	2.101	-33.385	0.0000
I(right-tail)	0.202	0.055	3.648	0.0003
|log-return|*I(right-tail)	-10.677	3.107	-3.437	0.0006

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.698	0.432	0.736	0.646

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	0.03	0.06	0.08	0.63

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.049	0.088

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	0.040	-22.637	0.0000
|log-return|	-49.952	1.540	-32.436	0.0000
I(right-tail)	0.274	0.056	4.870	0.0000
|log-return|*I(right-tail)	-9.523	2.289	-4.161	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.640	0.511	0.417	0.634

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.10	-0.08	-0.04	-0.03	-0.01	0.00	0.02	0.04	0.08	0.10	1.55

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.321	0.104

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.860	0.039	-22.269	0.0000
|log-return|	-44.180	1.321	-33.439	0.0000
I(right-tail)	0.217	0.056	3.890	0.0001
|log-return|*I(right-tail)	-7.298	1.969	-3.706	0.0002

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.621	0.574	0.679	0.620

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.10	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.07	0.08	0.75

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.094	0.105

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.838	0.040	-21.176	0.0000
|log-return|	-47.878	1.431	-33.447	0.0000
I(right-tail)	0.235	0.057	4.149	0.0000
|log-return|*I(right-tail)	-8.917	2.156	-4.136	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.440	0.467	0.589	0.613

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	-0.03	-0.01	0.00	0.01	0.04	0.06	0.08	1.39

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.094	0.110

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.802	0.041	-19.568	0.0000
|log-return|	-50.853	1.522	-33.410	0.0000
I(right-tail)	0.167	0.057	2.933	0.0034
|log-return|*I(right-tail)	-5.722	2.210	-2.589	0.0097

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.528	0.401	0.693	0.487

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	-0.05	-0.03	-0.02	0.00	0.02	0.05	0.10	0.12	1.05

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.267	0.095

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	0.039	-18.887	0.0000
|log-return|	-41.141	1.187	-34.652	0.0000
I(right-tail)	0.001	0.056	0.021	0.9836
|log-return|*I(right-tail)	1.520	1.664	0.914	0.3610

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.686	0.523	0.428	0.486

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.11	-0.10	-0.04	-0.03	-0.01	0.00	0.02	0.04	0.10	0.12	0.67

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.754	0.044

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.926	0.038	-24.222	0.0000
|log-return|	-37.566	1.141	-32.919	0.0000
I(right-tail)	-0.184	0.051	-3.599	0.0003
|log-return|*I(right-tail)	12.642	1.440	8.777	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.519	0.571	0.752	0.483

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.11	-0.10	-0.05	-0.03	-0.01	0.00	0.02	0.05	0.08	0.10	0.72

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.020	0.121

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.837	0.041	-20.632	0.0000
|log-return|	-38.630	1.161	-33.274	0.0000
I(right-tail)	0.266	0.057	4.661	0.0000
|log-return|*I(right-tail)	-8.631	1.758	-4.908	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.682	0.460	0.546	0.475

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	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.007	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	-0.891	0.040	-22.059	0.0000
|log-return|	-63.712	1.951	-32.651	0.0000
I(right-tail)	0.288	0.056	5.094	0.0000
|log-return|*I(right-tail)	-12.608	2.903	-4.343	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.608	0.439	0.261	0.469

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	0.04	0.06	0.08	0.59

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.331	0.114

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	0.040	-20.598	0.0000
|log-return|	-53.135	1.605	-33.101	0.0000
I(right-tail)	0.222	0.057	3.897	0.0001
|log-return|*I(right-tail)	-8.872	2.370	-3.743	0.0002

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.622	0.484	0.574	0.462

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	0.07	0.08	-0.41

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.193	0.099

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	0.040	-22.162	0.0000
|log-return|	-53.426	1.626	-32.852	0.0000
I(right-tail)	0.196	0.055	3.543	0.0004
|log-return|*I(right-tail)	-5.384	2.338	-2.303	0.0213

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.582	0.437	0.531	0.461

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	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.07	0.64

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.092	0.089

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.979	0.039	-25.258	0.0000
|log-return|	-53.270	1.650	-32.290	0.0000
I(right-tail)	0.314	0.055	5.724	0.0000
|log-return|*I(right-tail)	-15.958	2.574	-6.201	0.0000

Hurst exponent (of daily return price)

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

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	1.07

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.034	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	-0.896	0.039	-22.722	0.0000
|log-return|	-78.607	2.408	-32.646	0.0000
I(right-tail)	0.141	0.055	2.580	0.0099
|log-return|*I(right-tail)	-3.084	3.407	-0.905	0.3655

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.429	0.491	0.462	0.236