Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.20	-0.13	-0.07	-0.05	-0.02	0.00	0.02	0.08	0.13	0.17	0.46

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.659	0.129

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.856	0.054	-15.938	0.0000
|log-return|	-24.861	1.041	-23.888	0.0000
I(right-tail)	-0.158	0.074	-2.125	0.0337
|log-return|*I(right-tail)	4.773	1.387	3.441	0.0006

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
-0.11	-0.09	-0.05	-0.03	-0.01	0.00	0.01	0.04	0.09	0.12	1.29

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.454	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	-0.761	0.054	-14.028	0.0000
|log-return|	-43.447	1.771	-24.527	0.0000
I(right-tail)	-0.086	0.077	-1.116	0.2644
|log-return|*I(right-tail)	2.400	2.499	0.960	0.3370

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
-0.11	-0.10	-0.05	-0.03	-0.01	0.00	0.02	0.05	0.10	0.13	0.85

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.042	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	-0.865	0.056	-15.537	0.0000
|log-return|	-38.325	1.625	-23.582	0.0000
I(right-tail)	0.114	0.077	1.487	0.1374
|log-return|*I(right-tail)	-2.121	2.304	-0.921	0.3574

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
-0.10	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.10	0.32

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.334	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	-0.736	0.055	-13.278	0.0000
|log-return|	-49.472	2.028	-24.392	0.0000
I(right-tail)	-0.106	0.078	-1.357	0.1750
|log-return|*I(right-tail)	4.830	2.787	1.733	0.0834

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
-0.13	-0.09	-0.05	-0.04	-0.02	0.00	0.02	0.05	0.10	0.17	0.31

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.101	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	-0.810	0.056	-14.554	0.0000
|log-return|	-38.284	1.605	-23.849	0.0000
I(right-tail)	-0.014	0.077	-0.181	0.8561
|log-return|*I(right-tail)	2.026	2.199	0.921	0.3571

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
-0.15	-0.10	-0.04	-0.03	-0.01	0.00	0.02	0.05	0.08	0.12	0.12

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.036	0.113

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.919	0.053	-17.375	0.0000
|log-return|	-35.686	1.531	-23.303	0.0000
I(right-tail)	0.247	0.077	3.186	0.0015
|log-return|*I(right-tail)	-10.359	2.425	-4.271	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
-0.08	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	0.58

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.119	0.143

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.871	0.057	-15.328	0.0000
|log-return|	-56.166	2.414	-23.265	0.0000
I(right-tail)	0.226	0.079	2.867	0.0042
|log-return|*I(right-tail)	-10.798	3.588	-3.009	0.0027

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
-0.11	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.10	0.89

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.042	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	-0.920	0.054	-17.075	0.0000
|log-return|	-41.338	1.782	-23.198	0.0000
I(right-tail)	0.163	0.076	2.130	0.0334
|log-return|*I(right-tail)	-6.336	2.652	-2.389	0.0170

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
-0.13	-0.10	-0.05	-0.03	-0.02	0.00	0.02	0.06	0.10	0.12	1.72

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.321	0.127

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	0.054	-15.740	0.0000
|log-return|	-35.305	1.487	-23.745	0.0000
I(right-tail)	0.229	0.079	2.894	0.0039
|log-return|*I(right-tail)	-7.261	2.272	-3.195	0.0014

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
-0.12	-0.10	-0.05	-0.03	-0.01	0.00	0.02	0.05	0.08	0.10	0.88

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.097	0.122

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	0.054	-15.449	0.0000
|log-return|	-38.682	1.606	-24.087	0.0000
I(right-tail)	0.177	0.079	2.232	0.0258
|log-return|*I(right-tail)	-7.734	2.497	-3.097	0.0020

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
-0.11	-0.09	-0.05	-0.03	-0.02	0.00	0.02	0.05	0.08	0.11	1.71

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.096	0.139

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.737	0.058	-12.612	0.0000
|log-return|	-42.006	1.761	-23.857	0.0000
I(right-tail)	0.097	0.081	1.189	0.2347
|log-return|*I(right-tail)	-3.874	2.565	-1.510	0.1313

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
-0.14	-0.11	-0.06	-0.04	-0.02	0.00	0.02	0.06	0.11	0.15	1.12

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.267	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	-0.789	0.054	-14.543	0.0000
|log-return|	-34.100	1.403	-24.300	0.0000
I(right-tail)	0.009	0.078	0.117	0.9065
|log-return|*I(right-tail)	0.835	1.983	0.421	0.6738

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
-0.14	-0.11	-0.06	-0.04	-0.02	0.00	0.02	0.06	0.12	0.15	1.18

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.756	0.075

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.888	0.053	-16.917	0.0000
|log-return|	-30.418	1.278	-23.803	0.0000
I(right-tail)	-0.306	0.071	-4.321	0.0000
|log-return|*I(right-tail)	11.994	1.595	7.521	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
-0.14	-0.11	-0.06	-0.04	-0.02	0.00	0.02	0.06	0.10	0.13	0.69

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.038	0.126

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.841	0.054	-15.717	0.0000
|log-return|	-32.671	1.357	-24.083	0.0000
I(right-tail)	0.126	0.078	1.624	0.1047
|log-return|*I(right-tail)	-5.655	2.078	-2.722	0.0066

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
-0.09	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.015	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	-0.937	0.054	-17.423	0.0000
|log-return|	-52.632	2.267	-23.214	0.0000
I(right-tail)	0.180	0.076	2.374	0.0177
|log-return|*I(right-tail)	-8.687	3.376	-2.574	0.0102

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
-0.09	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.10	0.73

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.325	0.127

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.829	0.055	-15.173	0.0000
|log-return|	-43.939	1.860	-23.628	0.0000
I(right-tail)	0.144	0.079	1.829	0.0676
|log-return|*I(right-tail)	-7.856	2.809	-2.797	0.0052

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
-0.11	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.11	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.187	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	-0.891	0.054	-16.355	0.0000
|log-return|	-43.651	1.871	-23.328	0.0000
I(right-tail)	0.090	0.076	1.198	0.2313
|log-return|*I(right-tail)	-3.338	2.685	-1.243	0.2141

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
-0.11	-0.09	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.07	0.09	0.88

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.075	0.163

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.945	0.052	-18.045	0.0000
|log-return|	-42.877	1.823	-23.520	0.0000
I(right-tail)	0.196	0.076	2.584	0.0099
|log-return|*I(right-tail)	-11.396	2.881	-3.955	0.0001

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
-0.07	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.09	1.40

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.043	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	-0.946	0.052	-18.208	0.0000
|log-return|	-65.188	2.811	-23.188	0.0000
I(right-tail)	0.014	0.073	0.190	0.8491
|log-return|*I(right-tail)	1.731	3.934	0.440	0.6601

Hurst exponent (of daily return price)

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