PCH
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 |
0.04 |
0.07 |
0.10 |
0.51 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.275 |
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 |
-0.938 |
0.038 |
-24.768 |
0.0000 |
|log-return| |
-49.131 |
1.489 |
-33.002 |
0.0000 |
I(right-tail) |
0.117 |
0.053 |
2.214 |
0.0269 |
|log-return|*I(right-tail) |
-0.474 |
2.071 |
-0.229 |
0.8190 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.581 |
0.635 |
0.770 |
0.902 |
GIS
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 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
0.42 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.245 |
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 |
-0.880 |
0.040 |
-22.048 |
0.0000 |
|log-return| |
-118.320 |
3.675 |
-32.199 |
0.0000 |
I(right-tail) |
0.222 |
0.056 |
3.930 |
0.0001 |
|log-return|*I(right-tail) |
-10.395 |
5.192 |
-2.002 |
0.0454 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.193 |
0.808 |
0.957 |
0.860 |
HCN
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 |
0.08 |
1.01 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.109 |
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 |
-1.007 |
0.040 |
-25.470 |
0.0000 |
|log-return| |
-60.505 |
1.893 |
-31.959 |
0.0000 |
I(right-tail) |
0.266 |
0.053 |
4.974 |
0.0000 |
|log-return|*I(right-tail) |
-7.873 |
2.690 |
-2.926 |
0.0035 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.901 |
0.957 |
0.944 |
0.856 |
HSY
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 |
0.04 |
0.05 |
0.54 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.094 |
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 |
-0.810 |
0.040 |
-20.259 |
0.0000 |
|log-return| |
-102.941 |
3.059 |
-33.651 |
0.0000 |
I(right-tail) |
0.060 |
0.055 |
1.078 |
0.2812 |
|log-return|*I(right-tail) |
6.928 |
4.117 |
1.683 |
0.0926 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.293 |
0.616 |
0.902 |
0.830 |
PAA
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 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
0.81 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.353 |
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 |
-1.104 |
0.039 |
-28.602 |
0.0000 |
|log-return| |
-76.340 |
2.470 |
-30.908 |
0.0000 |
I(right-tail) |
0.254 |
0.053 |
4.841 |
0.0000 |
|log-return|*I(right-tail) |
-1.287 |
3.392 |
-0.379 |
0.7044 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.799 |
0.605 |
0.818 |
0.819 |
UL
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 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.220 |
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 |
-0.880 |
0.040 |
-21.782 |
0.0000 |
|log-return| |
-84.116 |
2.569 |
-32.740 |
0.0000 |
I(right-tail) |
0.292 |
0.057 |
5.142 |
0.0000 |
|log-return|*I(right-tail) |
-16.168 |
3.790 |
-4.266 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.499 |
0.678 |
0.791 |
0.809 |
GPC
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 |
0.04 |
0.05 |
0.95 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.009 |
0.180 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.797 |
0.040 |
-19.690 |
0.0000 |
|log-return| |
-97.789 |
2.894 |
-33.792 |
0.0000 |
I(right-tail) |
0.103 |
0.056 |
1.826 |
0.0680 |
|log-return|*I(right-tail) |
2.713 |
3.963 |
0.685 |
0.4937 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.696 |
0.476 |
0.739 |
0.781 |
PCL
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 |
0.09 |
1.35 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.254 |
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 |
-0.919 |
0.039 |
-23.567 |
0.0000 |
|log-return| |
-59.681 |
1.804 |
-33.083 |
0.0000 |
I(right-tail) |
0.045 |
0.053 |
0.853 |
0.3940 |
|log-return|*I(right-tail) |
4.429 |
2.430 |
1.823 |
0.0685 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.334 |
0.470 |
0.896 |
0.780 |
O
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 |
0.07 |
0.11 |
0.57 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.120 |
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 |
-1.011 |
0.039 |
-26.073 |
0.0000 |
|log-return| |
-54.484 |
1.700 |
-32.051 |
0.0000 |
I(right-tail) |
0.084 |
0.052 |
1.614 |
0.1067 |
|log-return|*I(right-tail) |
3.302 |
2.273 |
1.453 |
0.1464 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.917 |
0.893 |
0.719 |
0.779 |
ETP
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 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
0.83 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.816 |
0.093 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.026 |
0.040 |
-25.843 |
0.0000 |
|log-return| |
-76.437 |
2.403 |
-31.803 |
0.0000 |
I(right-tail) |
0.147 |
0.053 |
2.781 |
0.0055 |
|log-return|*I(right-tail) |
7.804 |
3.184 |
2.451 |
0.0143 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.538 |
0.408 |
0.653 |
0.778 |
SXL
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 |
0.04 |
0.05 |
1.12 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.589 |
0.064 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.941 |
0.041 |
-23.177 |
0.0000 |
|log-return| |
-83.230 |
2.595 |
-32.068 |
0.0000 |
I(right-tail) |
0.118 |
0.055 |
2.161 |
0.0308 |
|log-return|*I(right-tail) |
10.848 |
3.381 |
3.208 |
0.0014 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.265 |
0.325 |
0.661 |
0.774 |
DUK
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 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
0.32 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.090 |
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 |
-0.826 |
0.041 |
-20.018 |
0.0000 |
|log-return| |
-106.268 |
3.237 |
-32.827 |
0.0000 |
I(right-tail) |
0.144 |
0.057 |
2.530 |
0.0115 |
|log-return|*I(right-tail) |
2.875 |
4.401 |
0.653 |
0.5136 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.678 |
0.762 |
0.939 |
0.771 |
VTR
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 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.08 |
0.11 |
1.12 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.212 |
0.119 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.058 |
0.038 |
-28.133 |
0.0000 |
|log-return| |
-46.299 |
1.450 |
-31.933 |
0.0000 |
I(right-tail) |
0.218 |
0.052 |
4.220 |
0.0000 |
|log-return|*I(right-tail) |
-4.644 |
2.059 |
-2.256 |
0.0242 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.616 |
0.929 |
0.942 |
0.768 |
JPM
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 |
0.13 |
0.58 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.029 |
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 |
-0.986 |
0.036 |
-27.583 |
0.0000 |
|log-return| |
-44.579 |
1.336 |
-33.355 |
0.0000 |
I(right-tail) |
-0.013 |
0.050 |
-0.262 |
0.7937 |
|log-return|*I(right-tail) |
3.060 |
1.827 |
1.674 |
0.0942 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.254 |
0.249 |
0.501 |
0.766 |
AWF
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 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.286 |
0.057 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.389 |
0.040 |
-34.809 |
0.0000 |
|log-return| |
-61.871 |
2.223 |
-27.834 |
0.0000 |
I(right-tail) |
0.376 |
0.052 |
7.276 |
0.0000 |
|log-return|*I(right-tail) |
-11.424 |
3.190 |
-3.581 |
0.0003 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.517 |
0.617 |
0.418 |
0.747 |
NVS
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 |
0.04 |
0.05 |
0.75 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.147 |
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 |
-0.753 |
0.041 |
-18.207 |
0.0000 |
|log-return| |
-108.058 |
3.201 |
-33.762 |
0.0000 |
I(right-tail) |
0.049 |
0.056 |
0.865 |
0.3869 |
|log-return|*I(right-tail) |
6.187 |
4.311 |
1.435 |
0.1514 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.534 |
0.742 |
0.958 |
0.745 |
EXC
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 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.356 |
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 |
-0.836 |
0.039 |
-21.387 |
0.0000 |
|log-return| |
-80.188 |
2.375 |
-33.763 |
0.0000 |
I(right-tail) |
0.071 |
0.055 |
1.297 |
0.1949 |
|log-return|*I(right-tail) |
-0.312 |
3.372 |
-0.093 |
0.9262 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.658 |
0.760 |
0.896 |
0.730 |
D
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 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
2.24 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.195 |
0.109 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.804 |
0.040 |
-19.984 |
0.0000 |
|log-return| |
-112.333 |
3.324 |
-33.798 |
0.0000 |
I(right-tail) |
0.117 |
0.056 |
2.082 |
0.0375 |
|log-return|*I(right-tail) |
3.237 |
4.578 |
0.707 |
0.4796 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.731 |
0.754 |
0.954 |
0.727 |
NSC
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 |
0.06 |
-0.13 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.248 |
0.135 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.778 |
0.040 |
-19.267 |
0.0000 |
|log-return| |
-65.985 |
1.941 |
-33.987 |
0.0000 |
I(right-tail) |
0.189 |
0.057 |
3.293 |
0.0010 |
|log-return|*I(right-tail) |
-6.389 |
2.813 |
-2.271 |
0.0232 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.740 |
0.340 |
0.804 |
0.723 |
MMP
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 |
0.00 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
1.54 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.439 |
0.073 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.090 |
0.041 |
-26.889 |
0.0000 |
|log-return| |
-75.948 |
2.502 |
-30.359 |
0.0000 |
I(right-tail) |
0.159 |
0.053 |
3.009 |
0.0026 |
|log-return|*I(right-tail) |
9.922 |
3.258 |
3.046 |
0.0023 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.370 |
0.469 |
0.631 |
0.721 |
HD
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 |
0.03 |
0.05 |
0.06 |
0.38 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.356 |
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 |
-0.707 |
0.041 |
-17.216 |
0.0000 |
|log-return| |
-82.661 |
2.399 |
-34.461 |
0.0000 |
I(right-tail) |
-0.041 |
0.057 |
-0.727 |
0.4673 |
|log-return|*I(right-tail) |
10.407 |
3.174 |
3.278 |
0.0011 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.699 |
0.829 |
0.727 |
0.717 |
NU
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 |
1.62 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.043 |
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 |
-0.860 |
0.041 |
-21.048 |
0.0000 |
|log-return| |
-99.182 |
3.021 |
-32.832 |
0.0000 |
I(right-tail) |
0.161 |
0.056 |
2.858 |
0.0043 |
|log-return|*I(right-tail) |
-0.662 |
4.173 |
-0.159 |
0.8740 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.726 |
0.797 |
0.952 |
0.712 |
PFE
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 |
1.27 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.164 |
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 |
-0.811 |
0.039 |
-20.908 |
0.0000 |
|log-return| |
-84.803 |
2.513 |
-33.746 |
0.0000 |
I(right-tail) |
0.120 |
0.057 |
2.112 |
0.0348 |
|log-return|*I(right-tail) |
-5.970 |
3.652 |
-1.635 |
0.1022 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.676 |
0.608 |
0.848 |
0.711 |
HBC
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 |
0.77 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.369 |
0.109 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.058 |
0.036 |
-29.367 |
0.0000 |
|log-return| |
-58.507 |
1.828 |
-32.012 |
0.0000 |
I(right-tail) |
0.231 |
0.051 |
4.517 |
0.0000 |
|log-return|*I(right-tail) |
-13.547 |
2.752 |
-4.923 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.801 |
0.711 |
0.555 |
0.711 |
PG
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 |
0.04 |
1.14 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.138 |
0.147 |
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 |
-21.815 |
0.0000 |
|log-return| |
-116.335 |
3.483 |
-33.397 |
0.0000 |
I(right-tail) |
0.172 |
0.056 |
3.101 |
0.0019 |
|log-return|*I(right-tail) |
-7.208 |
4.952 |
-1.456 |
0.1456 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.617 |
0.598 |
0.860 |
0.708 |
DTE
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 |
0.04 |
0.05 |
0.62 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.221 |
0.094 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.855 |
0.041 |
-20.704 |
0.0000 |
|log-return| |
-100.563 |
3.060 |
-32.864 |
0.0000 |
I(right-tail) |
0.125 |
0.056 |
2.246 |
0.0248 |
|log-return|*I(right-tail) |
2.643 |
4.150 |
0.637 |
0.5243 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.711 |
0.811 |
0.960 |
0.703 |
PPG
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 |
0.06 |
0.57 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.094 |
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 |
-0.791 |
0.041 |
-19.142 |
0.0000 |
|log-return| |
-77.677 |
2.332 |
-33.315 |
0.0000 |
I(right-tail) |
0.125 |
0.056 |
2.206 |
0.0274 |
|log-return|*I(right-tail) |
-0.539 |
3.202 |
-0.168 |
0.8663 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.917 |
0.690 |
0.316 |
0.700 |
PEP
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 |
0.16 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.374 |
0.084 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.855 |
0.039 |
-21.935 |
0.0000 |
|log-return| |
-116.725 |
3.540 |
-32.970 |
0.0000 |
I(right-tail) |
0.159 |
0.056 |
2.861 |
0.0043 |
|log-return|*I(right-tail) |
-5.673 |
5.003 |
-1.134 |
0.2569 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.563 |
0.866 |
0.916 |
0.698 |
SCCO
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 |
0.43 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.090 |
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 |
-0.809 |
0.042 |
-19.232 |
0.0000 |
|log-return| |
-43.526 |
1.318 |
-33.020 |
0.0000 |
I(right-tail) |
0.153 |
0.058 |
2.646 |
0.0082 |
|log-return|*I(right-tail) |
-0.139 |
1.814 |
-0.077 |
0.9390 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.651 |
0.644 |
0.717 |
0.695 |
NLY
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 |
0.07 |
0.09 |
0.49 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.264 |
0.083 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.109 |
0.038 |
-29.313 |
0.0000 |
|log-return| |
-50.069 |
1.614 |
-31.019 |
0.0000 |
I(right-tail) |
0.158 |
0.051 |
3.085 |
0.0021 |
|log-return|*I(right-tail) |
0.185 |
2.191 |
0.085 |
0.9326 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.531 |
0.557 |
0.756 |
0.683 |
HCP
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 |
0.09 |
0.12 |
0.76 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.095 |
0.079 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.003 |
0.038 |
-26.333 |
0.0000 |
|log-return| |
-47.979 |
1.471 |
-32.615 |
0.0000 |
I(right-tail) |
0.092 |
0.052 |
1.779 |
0.0753 |
|log-return|*I(right-tail) |
2.238 |
1.989 |
1.125 |
0.2607 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.673 |
0.904 |
0.886 |
0.680 |
SUI
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 |
0.08 |
0.09 |
0.64 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.072 |
0.149 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.957 |
0.039 |
-24.771 |
0.0000 |
|log-return| |
-55.737 |
1.698 |
-32.816 |
0.0000 |
I(right-tail) |
0.144 |
0.053 |
2.719 |
0.0066 |
|log-return|*I(right-tail) |
-0.188 |
2.329 |
-0.081 |
0.9358 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.858 |
0.698 |
0.829 |
0.679 |
EMR
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 |
0.06 |
0.37 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.115 |
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 |
-0.851 |
0.040 |
-21.426 |
0.0000 |
|log-return| |
-71.835 |
2.158 |
-33.282 |
0.0000 |
I(right-tail) |
0.101 |
0.055 |
1.848 |
0.0647 |
|log-return|*I(right-tail) |
-0.604 |
2.992 |
-0.202 |
0.8401 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.746 |
0.406 |
0.544 |
0.676 |
MMC
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 |
0.03 |
0.05 |
0.06 |
0.92 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.603 |
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 |
-1.032 |
0.036 |
-28.419 |
0.0000 |
|log-return| |
-57.784 |
1.874 |
-30.830 |
0.0000 |
I(right-tail) |
0.222 |
0.053 |
4.205 |
0.0000 |
|log-return|*I(right-tail) |
-16.184 |
2.863 |
-5.652 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.686 |
0.463 |
0.827 |
0.675 |
GSK
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 |
0.04 |
0.04 |
1.26 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.043 |
0.115 |
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 |
0.040 |
-19.944 |
0.0000 |
|log-return| |
-92.851 |
2.765 |
-33.579 |
0.0000 |
I(right-tail) |
0.213 |
0.058 |
3.675 |
0.0002 |
|log-return|*I(right-tail) |
-11.569 |
4.067 |
-2.844 |
0.0045 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.493 |
0.937 |
0.760 |
0.669 |
ACG
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 |
0.02 |
0.03 |
0.90 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.075 |
0.065 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.441 |
0.043 |
-33.258 |
0.0000 |
|log-return| |
-100.890 |
3.876 |
-26.029 |
0.0000 |
I(right-tail) |
0.413 |
0.057 |
7.225 |
0.0000 |
|log-return|*I(right-tail) |
-26.407 |
5.753 |
-4.590 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.562 |
0.802 |
0.601 |
0.669 |
DRE
Percentile values of daily loss(gain) in per cent
| 0.5 | 1 | 5 | 10 | 25 | 50 | 75 | 90 | 95 | 99 | 99.5 |
| -0.14 |
-0.10 |
-0.04 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.04 |
0.11 |
0.15 |
0.66 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.146 |
0.073 |
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 |
0.035 |
-34.309 |
0.0000 |
|log-return| |
-29.308 |
0.957 |
-30.634 |
0.0000 |
I(right-tail) |
0.167 |
0.048 |
3.451 |
0.0006 |
|log-return|*I(right-tail) |
-4.980 |
1.412 |
-3.526 |
0.0004 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.673 |
0.680 |
0.900 |
0.669 |
WR
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 |
0.04 |
0.05 |
0.15 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.015 |
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 |
-0.848 |
0.042 |
-20.055 |
0.0000 |
|log-return| |
-98.431 |
3.029 |
-32.494 |
0.0000 |
I(right-tail) |
0.147 |
0.057 |
2.593 |
0.0096 |
|log-return|*I(right-tail) |
1.560 |
4.093 |
0.381 |
0.7032 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.669 |
0.828 |
0.955 |
0.665 |
EPD
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 |
0.04 |
0.05 |
0.79 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.472 |
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 |
-1.005 |
0.041 |
-24.797 |
0.0000 |
|log-return| |
-80.491 |
2.561 |
-31.424 |
0.0000 |
I(right-tail) |
0.186 |
0.054 |
3.452 |
0.0006 |
|log-return|*I(right-tail) |
1.876 |
3.461 |
0.542 |
0.5878 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.497 |
0.730 |
0.800 |
0.663 |
KMB
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 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
0.73 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.015 |
0.109 |
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 |
0.040 |
-21.533 |
0.0000 |
|log-return| |
-117.001 |
3.579 |
-32.688 |
0.0000 |
I(right-tail) |
0.230 |
0.056 |
4.070 |
0.0000 |
|log-return|*I(right-tail) |
-9.557 |
5.064 |
-1.887 |
0.0592 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.284 |
0.872 |
0.930 |
0.660 |
T
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 |
0.04 |
0.04 |
-0.22 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.515 |
0.097 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.803 |
0.041 |
-19.426 |
0.0000 |
|log-return| |
-95.504 |
2.866 |
-33.328 |
0.0000 |
I(right-tail) |
0.060 |
0.056 |
1.070 |
0.2849 |
|log-return|*I(right-tail) |
6.728 |
3.862 |
1.742 |
0.0816 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.453 |
0.599 |
0.894 |
0.658 |
LRY
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 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.09 |
0.11 |
0.56 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.425 |
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 |
-1.079 |
0.036 |
-29.592 |
0.0000 |
|log-return| |
-43.005 |
1.345 |
-31.962 |
0.0000 |
I(right-tail) |
0.197 |
0.051 |
3.889 |
0.0001 |
|log-return|*I(right-tail) |
-5.970 |
1.950 |
-3.062 |
0.0022 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.884 |
0.877 |
0.758 |
0.658 |
BMY
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 |
0.04 |
0.05 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.091 |
0.120 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.796 |
0.040 |
-19.737 |
0.0000 |
|log-return| |
-92.262 |
2.737 |
-33.709 |
0.0000 |
I(right-tail) |
0.103 |
0.056 |
1.824 |
0.0683 |
|log-return|*I(right-tail) |
1.444 |
3.764 |
0.384 |
0.7013 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.594 |
0.650 |
0.891 |
0.656 |
DD
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 |
0.46 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.102 |
0.117 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.876 |
0.039 |
-22.438 |
0.0000 |
|log-return| |
-70.068 |
2.099 |
-33.374 |
0.0000 |
I(right-tail) |
0.205 |
0.055 |
3.718 |
0.0002 |
|log-return|*I(right-tail) |
-10.856 |
3.106 |
-3.495 |
0.0005 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.857 |
0.549 |
0.749 |
0.653 |
PNW
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 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
0.96 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.002 |
0.109 |
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 |
0.040 |
-21.308 |
0.0000 |
|log-return| |
-104.449 |
3.134 |
-33.331 |
0.0000 |
I(right-tail) |
0.136 |
0.056 |
2.438 |
0.0148 |
|log-return|*I(right-tail) |
1.608 |
4.308 |
0.373 |
0.7090 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.694 |
0.853 |
0.946 |
0.653 |
DEO
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 |
0.04 |
0.05 |
1.06 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.223 |
0.119 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.821 |
0.041 |
-19.870 |
0.0000 |
|log-return| |
-98.275 |
2.964 |
-33.155 |
0.0000 |
I(right-tail) |
0.213 |
0.057 |
3.746 |
0.0002 |
|log-return|*I(right-tail) |
-6.612 |
4.162 |
-1.588 |
0.1123 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.563 |
0.477 |
0.708 |
0.651 |
SPG
Percentile values of daily loss(gain) in per cent
| 0.5 | 1 | 5 | 10 | 25 | 50 | 75 | 90 | 95 | 99 | 99.5 |
| -0.10 |
-0.09 |
-0.04 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.04 |
0.09 |
0.13 |
0.04 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.003 |
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 |
-1.037 |
0.038 |
-27.634 |
0.0000 |
|log-return| |
-44.020 |
1.360 |
-32.359 |
0.0000 |
I(right-tail) |
0.123 |
0.051 |
2.434 |
0.0150 |
|log-return|*I(right-tail) |
0.095 |
1.866 |
0.051 |
0.9593 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.903 |
0.922 |
0.511 |
0.644 |
MCHP
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 |
0.90 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.002 |
0.125 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.731 |
0.041 |
-17.953 |
0.0000 |
|log-return| |
-66.574 |
1.956 |
-34.043 |
0.0000 |
I(right-tail) |
0.132 |
0.058 |
2.260 |
0.0239 |
|log-return|*I(right-tail) |
-4.038 |
2.811 |
-1.437 |
0.1509 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.666 |
0.443 |
0.658 |
0.642 |
PLD
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 |
-0.04 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.04 |
0.11 |
0.15 |
0.73 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.372 |
0.056 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.176 |
0.036 |
-33.009 |
0.0000 |
|log-return| |
-30.965 |
0.999 |
-31.005 |
0.0000 |
I(right-tail) |
0.219 |
0.049 |
4.479 |
0.0000 |
|log-return|*I(right-tail) |
-6.408 |
1.486 |
-4.313 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.772 |
0.858 |
0.516 |
0.637 |
PPL
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 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
0.61 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.030 |
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 |
-0.971 |
0.039 |
-24.804 |
0.0000 |
|log-return| |
-78.281 |
2.448 |
-31.973 |
0.0000 |
I(right-tail) |
0.276 |
0.055 |
5.032 |
0.0000 |
|log-return|*I(right-tail) |
-15.293 |
3.635 |
-4.208 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.662 |
0.781 |
0.845 |
0.633 |
XEL
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 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
0.76 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.009 |
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 |
-0.812 |
0.042 |
-19.215 |
0.0000 |
|log-return| |
-116.971 |
3.562 |
-32.841 |
0.0000 |
I(right-tail) |
0.197 |
0.059 |
3.357 |
0.0008 |
|log-return|*I(right-tail) |
-2.710 |
4.939 |
-0.549 |
0.5832 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.668 |
0.798 |
0.938 |
0.629 |
MCD
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 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
1.43 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.037 |
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 |
-0.751 |
0.044 |
-17.199 |
0.0000 |
|log-return| |
-106.175 |
3.227 |
-32.900 |
0.0000 |
I(right-tail) |
0.131 |
0.058 |
2.257 |
0.0241 |
|log-return|*I(right-tail) |
5.393 |
4.264 |
1.265 |
0.2061 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.355 |
0.434 |
0.858 |
0.629 |
HIX
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 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.05 |
0.06 |
0.35 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.169 |
0.050 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.395 |
0.040 |
-35.196 |
0.0000 |
|log-return| |
-62.171 |
2.243 |
-27.712 |
0.0000 |
I(right-tail) |
0.391 |
0.053 |
7.439 |
0.0000 |
|log-return|*I(right-tail) |
-16.288 |
3.302 |
-4.932 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.836 |
0.888 |
0.552 |
0.623 |
NEE
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 |
0.04 |
0.05 |
0.63 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.028 |
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 |
-0.892 |
0.040 |
-22.414 |
0.0000 |
|log-return| |
-92.021 |
2.797 |
-32.894 |
0.0000 |
I(right-tail) |
0.072 |
0.054 |
1.332 |
0.1831 |
|log-return|*I(right-tail) |
7.699 |
3.732 |
2.063 |
0.0392 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.620 |
0.857 |
0.935 |
0.609 |
PNY
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 |
0.80 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.093 |
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 |
-0.823 |
0.041 |
-19.908 |
0.0000 |
|log-return| |
-89.764 |
2.722 |
-32.975 |
0.0000 |
I(right-tail) |
0.112 |
0.057 |
1.988 |
0.0469 |
|log-return|*I(right-tail) |
0.253 |
3.755 |
0.067 |
0.9463 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.388 |
0.623 |
0.725 |
0.601 |
LLY
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 |
0.32 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.006 |
0.085 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.827 |
0.040 |
-20.622 |
0.0000 |
|log-return| |
-87.768 |
2.636 |
-33.301 |
0.0000 |
I(right-tail) |
0.101 |
0.055 |
1.812 |
0.0701 |
|log-return|*I(right-tail) |
-3.816 |
3.722 |
-1.025 |
0.3053 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.649 |
0.730 |
0.782 |
0.597 |
PSA
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 |
0.07 |
0.10 |
0.58 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.107 |
0.072 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.990 |
0.038 |
-25.799 |
0.0000 |
|log-return| |
-52.955 |
1.626 |
-32.570 |
0.0000 |
I(right-tail) |
0.131 |
0.052 |
2.541 |
0.0111 |
|log-return|*I(right-tail) |
0.223 |
2.220 |
0.100 |
0.9200 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.816 |
0.901 |
0.498 |
0.592 |
FE
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 |
0.16 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.337 |
0.083 |
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 |
0.039 |
-24.260 |
0.0000 |
|log-return| |
-77.111 |
2.342 |
-32.929 |
0.0000 |
I(right-tail) |
0.172 |
0.054 |
3.167 |
0.0016 |
|log-return|*I(right-tail) |
-9.423 |
3.474 |
-2.713 |
0.0067 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.702 |
0.775 |
0.626 |
0.590 |
AJG
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 |
0.04 |
0.05 |
0.25 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.372 |
0.052 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.073 |
0.038 |
-28.475 |
0.0000 |
|log-return| |
-69.262 |
2.306 |
-30.040 |
0.0000 |
I(right-tail) |
0.247 |
0.053 |
4.676 |
0.0000 |
|log-return|*I(right-tail) |
-12.158 |
3.332 |
-3.649 |
0.0003 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.822 |
0.893 |
0.951 |
0.585 |
PBI
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 |
0.05 |
0.06 |
0.06 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.056 |
0.067 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.047 |
0.037 |
-28.590 |
0.0000 |
|log-return| |
-60.198 |
1.916 |
-31.421 |
0.0000 |
I(right-tail) |
0.232 |
0.053 |
4.406 |
0.0000 |
|log-return|*I(right-tail) |
-17.428 |
2.983 |
-5.843 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.195 |
0.262 |
0.704 |
0.584 |
MO
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 |
0.06 |
0.07 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.099 |
0.070 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.001 |
0.041 |
-24.598 |
0.0000 |
|log-return| |
-92.025 |
2.963 |
-31.059 |
0.0000 |
I(right-tail) |
0.116 |
0.054 |
2.168 |
0.0302 |
|log-return|*I(right-tail) |
20.490 |
3.637 |
5.633 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.726 |
0.770 |
0.589 |
0.584 |
RAI
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 |
0.04 |
0.05 |
0.64 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.147 |
0.097 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.882 |
0.042 |
-21.185 |
0.0000 |
|log-return| |
-94.288 |
2.925 |
-32.240 |
0.0000 |
I(right-tail) |
0.225 |
0.057 |
3.962 |
0.0001 |
|log-return|*I(right-tail) |
3.545 |
3.890 |
0.912 |
0.3621 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.865 |
0.870 |
0.644 |
0.583 |
PCG
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 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
0.35 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.131 |
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 |
-0.833 |
0.041 |
-20.099 |
0.0000 |
|log-return| |
-99.471 |
3.038 |
-32.744 |
0.0000 |
I(right-tail) |
0.093 |
0.056 |
1.662 |
0.0967 |
|log-return|*I(right-tail) |
6.294 |
4.074 |
1.545 |
0.1225 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.635 |
0.807 |
0.799 |
0.580 |
SO
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 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
0.58 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.523 |
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 |
-0.755 |
0.042 |
-18.013 |
0.0000 |
|log-return| |
-136.674 |
4.069 |
-33.591 |
0.0000 |
I(right-tail) |
0.021 |
0.057 |
0.359 |
0.7195 |
|log-return|*I(right-tail) |
18.397 |
5.341 |
3.444 |
0.0006 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.682 |
0.772 |
0.925 |
0.577 |
VZ
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 |
0.04 |
0.05 |
1.14 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.401 |
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 |
-0.782 |
0.041 |
-18.986 |
0.0000 |
|log-return| |
-98.722 |
2.941 |
-33.568 |
0.0000 |
I(right-tail) |
0.086 |
0.057 |
1.516 |
0.1297 |
|log-return|*I(right-tail) |
3.825 |
4.016 |
0.952 |
0.3410 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.584 |
0.915 |
0.969 |
0.571 |
KMP
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 |
0.04 |
0.04 |
0.80 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.074 |
0.067 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.015 |
0.040 |
-25.686 |
0.0000 |
|log-return| |
-99.273 |
3.151 |
-31.502 |
0.0000 |
I(right-tail) |
0.293 |
0.054 |
5.399 |
0.0000 |
|log-return|*I(right-tail) |
-7.159 |
4.379 |
-1.635 |
0.1022 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.495 |
0.534 |
0.469 |
0.568 |
HTCO
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 |
0.01 |
0.04 |
0.07 |
0.08 |
0.94 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.187 |
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 |
-0.752 |
0.043 |
-17.641 |
0.0000 |
|log-return| |
-58.717 |
1.760 |
-33.362 |
0.0000 |
I(right-tail) |
0.035 |
0.059 |
0.598 |
0.5498 |
|log-return|*I(right-tail) |
2.005 |
2.415 |
0.830 |
0.4064 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.366 |
0.430 |
0.562 |
0.545 |
NS
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 |
0.04 |
0.05 |
0.12 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.496 |
0.067 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.966 |
0.039 |
-24.549 |
0.0000 |
|log-return| |
-82.109 |
2.544 |
-32.276 |
0.0000 |
I(right-tail) |
0.154 |
0.054 |
2.879 |
0.0040 |
|log-return|*I(right-tail) |
0.701 |
3.505 |
0.200 |
0.8416 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.664 |
0.606 |
0.566 |
0.524 |
ABT
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 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.04 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.046 |
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 |
-0.765 |
0.042 |
-18.410 |
0.0000 |
|log-return| |
-107.876 |
3.232 |
-33.378 |
0.0000 |
I(right-tail) |
0.152 |
0.059 |
2.597 |
0.0095 |
|log-return|*I(right-tail) |
-4.317 |
4.550 |
-0.949 |
0.3428 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.186 |
0.635 |
0.651 |
0.518 |
MBVT
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 |
0.06 |
0.07 |
1.47 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.171 |
0.154 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.818 |
0.040 |
-20.376 |
0.0000 |
|log-return| |
-73.597 |
2.195 |
-33.533 |
0.0000 |
I(right-tail) |
0.004 |
0.057 |
0.074 |
0.9410 |
|log-return|*I(right-tail) |
5.909 |
2.967 |
1.992 |
0.0465 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.354 |
0.542 |
0.685 |
0.517 |
EIX
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 |
-0.09 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.307 |
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 |
-0.809 |
0.041 |
-19.540 |
0.0000 |
|log-return| |
-89.307 |
2.685 |
-33.264 |
0.0000 |
I(right-tail) |
0.152 |
0.057 |
2.657 |
0.0079 |
|log-return|*I(right-tail) |
-1.574 |
3.734 |
-0.422 |
0.6734 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.649 |
0.707 |
0.765 |
0.514 |
INTC
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 |
0.06 |
0.91 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.149 |
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 |
-0.735 |
0.041 |
-17.829 |
0.0000 |
|log-return| |
-69.145 |
2.041 |
-33.881 |
0.0000 |
I(right-tail) |
0.134 |
0.059 |
2.288 |
0.0222 |
|log-return|*I(right-tail) |
-6.644 |
2.972 |
-2.235 |
0.0255 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.914 |
0.654 |
0.478 |
0.466 |
VFC
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 |
0.06 |
0.07 |
1.34 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.061 |
0.154 |
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 |
0.039 |
-21.355 |
0.0000 |
|log-return| |
-73.750 |
2.182 |
-33.798 |
0.0000 |
I(right-tail) |
0.106 |
0.055 |
1.923 |
0.0546 |
|log-return|*I(right-tail) |
1.864 |
2.997 |
0.622 |
0.5341 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.869 |
0.825 |
0.895 |
0.466 |
VOD
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 |
0.06 |
1.15 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.185 |
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 |
-0.832 |
0.039 |
-21.063 |
0.0000 |
|log-return| |
-69.656 |
2.090 |
-33.324 |
0.0000 |
I(right-tail) |
0.170 |
0.057 |
2.994 |
0.0028 |
|log-return|*I(right-tail) |
-6.555 |
3.024 |
-2.168 |
0.0303 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.701 |
0.808 |
0.621 |
0.464 |
ITW
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 |
0.06 |
1.35 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.152 |
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 |
-0.801 |
0.040 |
-20.020 |
0.0000 |
|log-return| |
-79.451 |
2.344 |
-33.890 |
0.0000 |
I(right-tail) |
0.118 |
0.056 |
2.116 |
0.0344 |
|log-return|*I(right-tail) |
-3.038 |
3.312 |
-0.917 |
0.3592 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.737 |
0.415 |
0.449 |
0.457 |
MRK
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 |
-0.02 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.06 |
0.31 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.751 |
0.059 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.096 |
0.036 |
-30.694 |
0.0000 |
|log-return| |
-53.662 |
1.757 |
-30.538 |
0.0000 |
I(right-tail) |
0.358 |
0.053 |
6.810 |
0.0000 |
|log-return|*I(right-tail) |
-25.446 |
2.884 |
-8.823 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.563 |
0.653 |
0.684 |
0.456 |
APU
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 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
0.91 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.342 |
0.071 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.156 |
0.038 |
-30.423 |
0.0000 |
|log-return| |
-68.417 |
2.262 |
-30.250 |
0.0000 |
I(right-tail) |
0.259 |
0.052 |
4.995 |
0.0000 |
|log-return|*I(right-tail) |
-5.080 |
3.235 |
-1.570 |
0.1165 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.654 |
0.433 |
0.643 |
0.453 |
HCBK
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 |
0.08 |
1.38 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.027 |
0.147 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.953 |
0.038 |
-24.838 |
0.0000 |
|log-return| |
-59.259 |
1.803 |
-32.873 |
0.0000 |
I(right-tail) |
0.105 |
0.054 |
1.948 |
0.0516 |
|log-return|*I(right-tail) |
-3.747 |
2.583 |
-1.451 |
0.1470 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.732 |
0.564 |
0.390 |
0.449 |
DO
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 |
-0.03 |
-0.01 |
0.00 |
0.01 |
0.04 |
0.06 |
0.08 |
0.51 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.035 |
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 |
-0.774 |
0.041 |
-19.103 |
0.0000 |
|log-return| |
-54.274 |
1.615 |
-33.601 |
0.0000 |
I(right-tail) |
0.177 |
0.058 |
3.057 |
0.0023 |
|log-return|*I(right-tail) |
-4.341 |
2.327 |
-1.866 |
0.0622 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.702 |
0.456 |
0.536 |
0.437 |
MTB
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 |
0.07 |
0.09 |
1.90 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.093 |
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 |
-0.938 |
0.037 |
-25.441 |
0.0000 |
|log-return| |
-54.668 |
1.623 |
-33.680 |
0.0000 |
I(right-tail) |
0.033 |
0.051 |
0.645 |
0.5188 |
|log-return|*I(right-tail) |
1.005 |
2.252 |
0.446 |
0.6554 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.800 |
0.507 |
0.376 |
0.419 |
YUM
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 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.05 |
0.07 |
0.47 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.023 |
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 |
-0.767 |
0.041 |
-18.634 |
0.0000 |
|log-return| |
-81.183 |
2.407 |
-33.725 |
0.0000 |
I(right-tail) |
0.093 |
0.057 |
1.633 |
0.1026 |
|log-return|*I(right-tail) |
3.027 |
3.261 |
0.928 |
0.3534 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.687 |
0.581 |
0.476 |
0.400 |
CPSI
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 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.04 |
0.07 |
0.09 |
0.71 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.593 |
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 |
-0.967 |
0.037 |
-26.205 |
0.0000 |
|log-return| |
-43.278 |
1.340 |
-32.296 |
0.0000 |
I(right-tail) |
0.252 |
0.054 |
4.651 |
0.0000 |
|log-return|*I(right-tail) |
-10.236 |
2.042 |
-5.014 |
0.0000 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.746 |
0.483 |
0.593 |
0.383 |
FTR
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 |
2.29 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.284 |
0.138 |
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 |
0.041 |
-20.899 |
0.0000 |
|log-return| |
-67.480 |
2.044 |
-33.020 |
0.0000 |
I(right-tail) |
0.018 |
0.057 |
0.323 |
0.7470 |
|log-return|*I(right-tail) |
3.783 |
2.803 |
1.350 |
0.1772 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.266 |
0.338 |
0.465 |
0.323 |
EEP
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 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.06 |
0.47 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.404 |
0.059 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.061 |
0.039 |
-27.299 |
0.0000 |
|log-return| |
-76.238 |
2.410 |
-31.636 |
0.0000 |
I(right-tail) |
0.198 |
0.053 |
3.757 |
0.0002 |
|log-return|*I(right-tail) |
-1.131 |
3.337 |
-0.339 |
0.7347 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.419 |
0.518 |
0.429 |
0.294 |
XOM
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 |
1.01 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.035 |
0.079 |
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 |
-22.716 |
0.0000 |
|log-return| |
-78.633 |
2.408 |
-32.659 |
0.0000 |
I(right-tail) |
0.140 |
0.055 |
2.556 |
0.0106 |
|log-return|*I(right-tail) |
-3.068 |
3.407 |
-0.900 |
0.3680 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.610 |
0.534 |
0.467 |
0.238 |
EQR
Percentile values of daily loss(gain) in per cent
| 0.5 | 1 | 5 | 10 | 25 | 50 | 75 | 90 | 95 | 99 | 99.5 |
| -0.10 |
-0.09 |
-0.04 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.09 |
0.12 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.133 |
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 |
-1.050 |
0.036 |
-28.958 |
0.0000 |
|log-return| |
-43.124 |
1.328 |
-32.480 |
0.0000 |
I(right-tail) |
0.092 |
0.050 |
1.843 |
0.0654 |
|log-return|*I(right-tail) |
-0.067 |
1.843 |
-0.036 |
0.9710 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.674 |
0.635 |
0.373 |
0.233 |
FL
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 |
0.04 |
0.08 |
0.10 |
0.10 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.756 |
0.083 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.889 |
0.039 |
-23.041 |
0.0000 |
|log-return| |
-49.587 |
1.540 |
-32.190 |
0.0000 |
I(right-tail) |
0.153 |
0.055 |
2.765 |
0.0057 |
|log-return|*I(right-tail) |
-4.396 |
2.189 |
-2.008 |
0.0447 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.669 |
0.356 |
0.330 |
0.233 |
