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	-0.04	-0.02	0.00	0.02	0.06	0.12	0.12	2.25

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.719	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	-0.857	0.087	-9.876	0.0000
|log-return|	-33.104	2.291	-14.448	0.0000
I(right-tail)	-0.414	0.114	-3.638	0.0003
|log-return|*I(right-tail)	16.953	2.686	6.311	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	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.03	0.06	0.06	2.88

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.405	0.178

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.707	0.086	-8.211	0.0000
|log-return|	-54.646	3.567	-15.318	0.0000
I(right-tail)	0.065	0.131	0.492	0.6229
|log-return|*I(right-tail)	-14.990	5.930	-2.528	0.0118

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
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.04	0.05	0.07	3.07

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.125	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	-0.788	0.093	-8.468	0.0000
|log-return|	-62.319	4.298	-14.501	0.0000
I(right-tail)	0.235	0.130	1.805	0.0717
|log-return|*I(right-tail)	-6.478	6.143	-1.055	0.2921

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	1.77

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.240	0.230

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.549	0.093	-5.918	0.0000
|log-return|	-74.352	4.778	-15.562	0.0000
I(right-tail)	-0.058	0.137	-0.421	0.6736
|log-return|*I(right-tail)	-3.485	7.134	-0.488	0.6254

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
-0.08	-0.07	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.06	0.07	3.25

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.228	0.270

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.783	0.092	-8.499	0.0000
|log-return|	-57.196	3.917	-14.603	0.0000
I(right-tail)	0.148	0.128	1.161	0.2463
|log-return|*I(right-tail)	-6.723	5.667	-1.186	0.2360

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
-0.08	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.04	0.06	0.06	2.85

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.016	0.181

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.714	0.091	-7.860	0.0000
|log-return|	-58.628	3.915	-14.975	0.0000
I(right-tail)	0.143	0.132	1.078	0.2817
|log-return|*I(right-tail)	-6.175	5.803	-1.064	0.2879

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	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.06	3.54

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.358	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	-0.849	0.090	-9.410	0.0000
|log-return|	-74.588	5.194	-14.360	0.0000
I(right-tail)	0.295	0.129	2.287	0.0226
|log-return|*I(right-tail)	-21.239	8.071	-2.632	0.0088

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
-0.07	-0.07	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.05	0.06	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.235	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	-0.736	0.092	-8.026	0.0000
|log-return|	-58.035	3.900	-14.881	0.0000
I(right-tail)	0.223	0.134	1.669	0.0957
|log-return|*I(right-tail)	-10.526	5.930	-1.775	0.0765

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
-0.08	-0.07	-0.04	-0.03	-0.02	0.00	0.02	0.04	0.07	0.08	2.42

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Skew Normal	-0.044	0.359

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.574	0.096	-5.963	0.0000
|log-return|	-57.701	3.804	-15.168	0.0000
I(right-tail)	0.028	0.138	0.203	0.8392
|log-return|*I(right-tail)	3.169	5.245	0.604	0.5460

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
-0.09	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.07	0.08	1.53

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.099	0.208

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.715	0.090	-7.935	0.0000
|log-return|	-52.249	3.454	-15.125	0.0000
I(right-tail)	0.118	0.132	0.899	0.3688
|log-return|*I(right-tail)	-6.837	5.212	-1.312	0.1902

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
-0.08	-0.06	-0.04	-0.03	-0.02	0.00	0.02	0.04	0.06	0.07	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Skew Normal	-0.268	0.302

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.467	0.103	-4.518	0.0000
|log-return|	-58.427	3.903	-14.968	0.0000
I(right-tail)	-0.238	0.138	-1.730	0.0843
|log-return|*I(right-tail)	8.601	5.163	1.666	0.0963

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
-0.07	-0.06	-0.04	-0.02	-0.01	0.00	0.02	0.05	0.06	0.07	1.71

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.218	0.240

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.568	0.099	-5.728	0.0000
|log-return|	-62.764	4.191	-14.976	0.0000
I(right-tail)	0.038	0.139	0.276	0.7829
|log-return|*I(right-tail)	8.128	5.528	1.470	0.1421

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
-0.10	-0.07	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.07	0.08	2.71

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.074	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	-0.662	0.092	-7.204	0.0000
|log-return|	-52.559	3.470	-15.145	0.0000
I(right-tail)	-0.016	0.131	-0.120	0.9045
|log-return|*I(right-tail)	-1.753	5.017	-0.349	0.7269

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
-0.09	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.08	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.582	0.157

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.785	0.085	-9.265	0.0000
|log-return|	-46.692	3.111	-15.010	0.0000
I(right-tail)	0.107	0.127	0.841	0.4007
|log-return|*I(right-tail)	-9.300	4.883	-1.905	0.0574

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
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.04	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Skew Normal	0.709	0.332

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	0.093	-8.632	0.0000
|log-return|	-88.396	6.169	-14.328	0.0000
I(right-tail)	0.394	0.136	2.894	0.0040
|log-return|*I(right-tail)	-26.556	9.642	-2.754	0.0061

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
-0.06	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	2.33

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.128	0.208

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	0.093	-7.073	0.0000
|log-return|	-66.580	4.406	-15.113	0.0000
I(right-tail)	0.109	0.134	0.815	0.4153
|log-return|*I(right-tail)	-7.824	6.569	-1.191	0.2342

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
-0.06	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	1.32

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.006	0.190

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.622	0.095	-6.577	0.0000
|log-return|	-70.183	4.638	-15.132	0.0000
I(right-tail)	-0.056	0.131	-0.424	0.6719
|log-return|*I(right-tail)	1.831	6.456	0.284	0.7768

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.04	0.05	2.18

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.366	0.186

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.770	0.089	-8.705	0.0000
|log-return|	-70.778	4.733	-14.954	0.0000
I(right-tail)	0.183	0.131	1.397	0.1630
|log-return|*I(right-tail)	-15.548	7.411	-2.098	0.0364

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
-0.04	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.04	2.52

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.215	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	-0.781	0.091	-8.543	0.0000
|log-return|	-104.207	7.093	-14.692	0.0000
I(right-tail)	0.194	0.130	1.493	0.1361
|log-return|*I(right-tail)	-12.816	10.394	-1.233	0.2182

Hurst exponent (of daily return price)

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