PCH
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 |
3.33 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.223 |
0.203 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.845 |
0.091 |
-9.313 |
0.0000 |
|log-return| |
-73.587 |
5.079 |
-14.488 |
0.0000 |
I(right-tail) |
0.089 |
0.124 |
0.722 |
0.4709 |
|log-return|*I(right-tail) |
4.533 |
6.825 |
0.664 |
0.5069 |
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 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.01 |
0.02 |
0.03 |
1.79 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.225 |
0.376 |
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 |
0.103 |
-7.272 |
0.0000 |
|log-return| |
-159.091 |
11.398 |
-13.958 |
0.0000 |
I(right-tail) |
0.306 |
0.137 |
2.229 |
0.0263 |
|log-return|*I(right-tail) |
-11.024 |
15.488 |
-0.712 |
0.4769 |
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 |
| -0.05 |
-0.04 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
1.11 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.192 |
0.176 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.124 |
0.089 |
-12.558 |
0.0000 |
|log-return| |
-72.624 |
5.603 |
-12.961 |
0.0000 |
I(right-tail) |
0.568 |
0.124 |
4.581 |
0.0000 |
|log-return|*I(right-tail) |
-31.390 |
8.650 |
-3.629 |
0.0003 |
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 |
| -0.03 |
-0.03 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
1.44 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.257 |
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 |
-0.736 |
0.098 |
-7.481 |
0.0000 |
|log-return| |
-149.831 |
10.442 |
-14.348 |
0.0000 |
I(right-tail) |
0.204 |
0.135 |
1.516 |
0.1302 |
|log-return|*I(right-tail) |
14.383 |
13.571 |
1.060 |
0.2897 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
0.19 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.140 |
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 |
-0.994 |
0.094 |
-10.527 |
0.0000 |
|log-return| |
-111.474 |
8.269 |
-13.481 |
0.0000 |
I(right-tail) |
0.617 |
0.133 |
4.641 |
0.0000 |
|log-return|*I(right-tail) |
-24.241 |
11.783 |
-2.057 |
0.0402 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.021 |
0.173 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.790 |
0.099 |
-8.000 |
0.0000 |
|log-return| |
-109.585 |
7.803 |
-14.044 |
0.0000 |
I(right-tail) |
0.301 |
0.134 |
2.256 |
0.0245 |
|log-return|*I(right-tail) |
-12.446 |
10.901 |
-1.142 |
0.2541 |
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 |
| -0.04 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.04 |
5.84 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.192 |
0.214 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.780 |
0.096 |
-8.149 |
0.0000 |
|log-return| |
-94.948 |
6.589 |
-14.409 |
0.0000 |
I(right-tail) |
0.290 |
0.133 |
2.173 |
0.0303 |
|log-return|*I(right-tail) |
-9.577 |
9.326 |
-1.027 |
0.3050 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.04 |
1.02 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.111 |
0.215 |
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 |
0.098 |
-8.208 |
0.0000 |
|log-return| |
-102.131 |
7.192 |
-14.200 |
0.0000 |
I(right-tail) |
0.320 |
0.134 |
2.392 |
0.0171 |
|log-return|*I(right-tail) |
-14.997 |
10.281 |
-1.459 |
0.1453 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.04 |
1.74 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.390 |
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 |
-0.908 |
0.095 |
-9.575 |
0.0000 |
|log-return| |
-105.069 |
7.601 |
-13.822 |
0.0000 |
I(right-tail) |
0.158 |
0.125 |
1.269 |
0.2051 |
|log-return|*I(right-tail) |
13.661 |
9.745 |
1.402 |
0.1616 |
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 |
| -0.05 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.04 |
0.55 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.244 |
0.137 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.824 |
0.089 |
-9.287 |
0.0000 |
|log-return| |
-98.064 |
6.632 |
-14.786 |
0.0000 |
I(right-tail) |
0.118 |
0.126 |
0.934 |
0.3510 |
|log-return|*I(right-tail) |
1.448 |
9.279 |
0.156 |
0.8760 |
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 |
-0.05 |
-0.02 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.05 |
0.05 |
0.96 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.090 |
0.192 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.742 |
0.092 |
-8.064 |
0.0000 |
|log-return| |
-94.562 |
6.391 |
-14.796 |
0.0000 |
I(right-tail) |
0.166 |
0.131 |
1.271 |
0.2042 |
|log-return|*I(right-tail) |
13.777 |
8.268 |
1.666 |
0.0963 |
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 |
| -0.02 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.01 |
0.02 |
0.03 |
2.07 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.097 |
0.173 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.757 |
0.098 |
-7.728 |
0.0000 |
|log-return| |
-167.935 |
11.987 |
-14.010 |
0.0000 |
I(right-tail) |
0.206 |
0.137 |
1.505 |
0.1331 |
|log-return|*I(right-tail) |
13.467 |
15.703 |
0.858 |
0.3916 |
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 |
| -0.05 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
2.29 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.066 |
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 |
-0.966 |
0.094 |
-10.304 |
0.0000 |
|log-return| |
-83.237 |
6.037 |
-13.787 |
0.0000 |
I(right-tail) |
0.384 |
0.126 |
3.051 |
0.0024 |
|log-return|*I(right-tail) |
-15.784 |
8.629 |
-1.829 |
0.0680 |
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 |
| -0.07 |
-0.06 |
-0.04 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.07 |
0.07 |
2.51 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.192 |
0.191 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.773 |
0.090 |
-8.560 |
0.0000 |
|log-return| |
-59.825 |
4.025 |
-14.864 |
0.0000 |
I(right-tail) |
0.133 |
0.128 |
1.040 |
0.2989 |
|log-return|*I(right-tail) |
-4.338 |
5.804 |
-0.747 |
0.4551 |
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 |
| -0.04 |
-0.04 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.01 |
0.03 |
0.03 |
0.77 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.088 |
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 |
-1.213 |
0.092 |
-13.247 |
0.0000 |
|log-return| |
-94.724 |
7.562 |
-12.526 |
0.0000 |
I(right-tail) |
0.475 |
0.122 |
3.907 |
0.0001 |
|log-return|*I(right-tail) |
-24.798 |
10.894 |
-2.276 |
0.0233 |
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 |
| -0.05 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
2.42 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.095 |
0.173 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.899 |
0.093 |
-9.618 |
0.0000 |
|log-return| |
-105.304 |
7.538 |
-13.969 |
0.0000 |
I(right-tail) |
0.347 |
0.128 |
2.709 |
0.0070 |
|log-return|*I(right-tail) |
-19.267 |
10.843 |
-1.777 |
0.0762 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
0.61 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Skew Normal |
0.497 |
0.333 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.710 |
0.092 |
-7.692 |
0.0000 |
|log-return| |
-117.175 |
7.938 |
-14.761 |
0.0000 |
I(right-tail) |
0.166 |
0.135 |
1.231 |
0.2189 |
|log-return|*I(right-tail) |
-18.096 |
11.943 |
-1.515 |
0.1304 |
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 |
| -0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
1.98 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.281 |
0.175 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.735 |
0.094 |
-7.817 |
0.0000 |
|log-return| |
-154.486 |
10.740 |
-14.384 |
0.0000 |
I(right-tail) |
0.184 |
0.134 |
1.373 |
0.1705 |
|log-return|*I(right-tail) |
8.075 |
14.392 |
0.561 |
0.5750 |
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 |
-0.02 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.04 |
0.04 |
1.31 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Skew Normal |
0.263 |
0.294 |
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 |
0.090 |
-9.074 |
0.0000 |
|log-return| |
-72.322 |
5.052 |
-14.316 |
0.0000 |
I(right-tail) |
0.351 |
0.134 |
2.619 |
0.0091 |
|log-return|*I(right-tail) |
-23.051 |
8.027 |
-2.872 |
0.0043 |
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 |
| -0.03 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
0.97 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.260 |
0.256 |
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 |
0.100 |
-8.120 |
0.0000 |
|log-return| |
-126.011 |
9.035 |
-13.947 |
0.0000 |
I(right-tail) |
0.247 |
0.132 |
1.863 |
0.0630 |
|log-return|*I(right-tail) |
14.335 |
11.449 |
1.252 |
0.2111 |
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 |
| -0.04 |
-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 |
| Logistic |
0.063 |
0.191 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.842 |
0.095 |
-8.892 |
0.0000 |
|log-return| |
-96.267 |
6.761 |
-14.239 |
0.0000 |
I(right-tail) |
0.284 |
0.129 |
2.204 |
0.0280 |
|log-return|*I(right-tail) |
3.037 |
8.919 |
0.341 |
0.7336 |
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 |
| -0.03 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.164 |
0.196 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.748 |
0.094 |
-7.958 |
0.0000 |
|log-return| |
-121.777 |
8.360 |
-14.566 |
0.0000 |
I(right-tail) |
0.276 |
0.136 |
2.028 |
0.0431 |
|log-return|*I(right-tail) |
-11.896 |
12.090 |
-0.984 |
0.3256 |
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 |
| -0.04 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
1.72 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.102 |
0.195 |
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 |
0.090 |
-9.224 |
0.0000 |
|log-return| |
-109.182 |
7.472 |
-14.612 |
0.0000 |
I(right-tail) |
0.306 |
0.132 |
2.308 |
0.0214 |
|log-return|*I(right-tail) |
-8.007 |
10.706 |
-0.748 |
0.4549 |
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 |
-0.05 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.04 |
0.05 |
3.95 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.377 |
0.185 |
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 |
0.088 |
-9.545 |
0.0000 |
|log-return| |
-72.952 |
4.988 |
-14.626 |
0.0000 |
I(right-tail) |
0.350 |
0.132 |
2.657 |
0.0081 |
|log-return|*I(right-tail) |
-21.456 |
7.901 |
-2.716 |
0.0068 |
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 |
| -0.03 |
-0.03 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
1.57 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.260 |
0.265 |
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 |
0.092 |
-9.090 |
0.0000 |
|log-return| |
-140.563 |
9.832 |
-14.296 |
0.0000 |
I(right-tail) |
0.222 |
0.129 |
1.721 |
0.0858 |
|log-return|*I(right-tail) |
-4.135 |
13.565 |
-0.305 |
0.7606 |
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 |
| -0.03 |
-0.03 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
1.65 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.317 |
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 |
-0.864 |
0.094 |
-9.154 |
0.0000 |
|log-return| |
-128.757 |
9.364 |
-13.750 |
0.0000 |
I(right-tail) |
0.291 |
0.130 |
2.241 |
0.0254 |
|log-return|*I(right-tail) |
-4.063 |
12.581 |
-0.323 |
0.7469 |
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 |
0.76 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.036 |
0.365 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.698 |
0.100 |
-7.012 |
0.0000 |
|log-return| |
-83.546 |
5.800 |
-14.404 |
0.0000 |
I(right-tail) |
0.186 |
0.135 |
1.376 |
0.1695 |
|log-return|*I(right-tail) |
0.771 |
7.816 |
0.099 |
0.9214 |
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 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.01 |
0.03 |
0.03 |
2.53 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.085 |
0.169 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.826 |
0.089 |
-9.250 |
0.0000 |
|log-return| |
-146.330 |
9.987 |
-14.652 |
0.0000 |
I(right-tail) |
0.222 |
0.128 |
1.737 |
0.0831 |
|log-return|*I(right-tail) |
-5.767 |
14.005 |
-0.412 |
0.6807 |
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 |
| -0.08 |
-0.07 |
-0.04 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.04 |
0.06 |
0.07 |
3.87 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.210 |
0.165 |
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 |
-8.544 |
0.0000 |
|log-return| |
-57.499 |
3.922 |
-14.659 |
0.0000 |
I(right-tail) |
0.136 |
0.128 |
1.068 |
0.2861 |
|log-return|*I(right-tail) |
-6.215 |
5.673 |
-1.095 |
0.2738 |
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 |
| -0.04 |
-0.04 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.04 |
0.04 |
1.88 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.166 |
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 |
-0.953 |
0.095 |
-10.064 |
0.0000 |
|log-return| |
-99.561 |
7.265 |
-13.703 |
0.0000 |
I(right-tail) |
0.163 |
0.124 |
1.310 |
0.1909 |
|log-return|*I(right-tail) |
2.350 |
9.679 |
0.243 |
0.8083 |
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 |
| -0.06 |
-0.04 |
-0.02 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
1.74 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.051 |
0.155 |
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 |
0.094 |
-10.877 |
0.0000 |
|log-return| |
-75.292 |
5.685 |
-13.244 |
0.0000 |
I(right-tail) |
0.322 |
0.123 |
2.616 |
0.0092 |
|log-return|*I(right-tail) |
-8.429 |
7.844 |
-1.075 |
0.2831 |
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 |
| -0.06 |
-0.04 |
-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 |
0.038 |
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 |
-0.940 |
0.090 |
-10.394 |
0.0000 |
|log-return| |
-69.750 |
4.956 |
-14.075 |
0.0000 |
I(right-tail) |
0.304 |
0.124 |
2.451 |
0.0146 |
|log-return|*I(right-tail) |
-8.467 |
7.034 |
-1.204 |
0.2293 |
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 |
-0.06 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.04 |
0.05 |
4.57 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.177 |
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 |
-0.787 |
0.093 |
-8.449 |
0.0000 |
|log-return| |
-74.484 |
5.136 |
-14.503 |
0.0000 |
I(right-tail) |
0.138 |
0.128 |
1.081 |
0.2804 |
|log-return|*I(right-tail) |
-6.030 |
7.290 |
-0.827 |
0.4086 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
2.45 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.016 |
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 |
-0.797 |
0.092 |
-8.693 |
0.0000 |
|log-return| |
-98.648 |
6.920 |
-14.256 |
0.0000 |
I(right-tail) |
0.087 |
0.129 |
0.675 |
0.4997 |
|log-return|*I(right-tail) |
7.524 |
9.253 |
0.813 |
0.4165 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.02 |
0.04 |
2.73 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.172 |
0.308 |
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 |
0.097 |
-8.680 |
0.0000 |
|log-return| |
-109.443 |
7.788 |
-14.052 |
0.0000 |
I(right-tail) |
0.369 |
0.135 |
2.721 |
0.0067 |
|log-return|*I(right-tail) |
-20.666 |
11.428 |
-1.808 |
0.0712 |
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 |
| -0.02 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.00 |
0.00 |
0.01 |
0.02 |
0.02 |
1.37 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.106 |
0.245 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.002 |
0.111 |
-9.046 |
0.0000 |
|log-return| |
-262.199 |
21.239 |
-12.345 |
0.0000 |
I(right-tail) |
0.469 |
0.150 |
3.121 |
0.0019 |
|log-return|*I(right-tail) |
-4.154 |
27.742 |
-0.150 |
0.8811 |
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 |
| -0.07 |
-0.06 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.06 |
0.07 |
2.86 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.386 |
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 |
-0.993 |
0.084 |
-11.865 |
0.0000 |
|log-return| |
-55.986 |
3.981 |
-14.064 |
0.0000 |
I(right-tail) |
0.277 |
0.122 |
2.262 |
0.0241 |
|log-return|*I(right-tail) |
-11.067 |
6.002 |
-1.844 |
0.0658 |
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 |
| -0.03 |
-0.03 |
-0.01 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
3.91 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.029 |
0.146 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.746 |
0.099 |
-7.548 |
0.0000 |
|log-return| |
-139.394 |
9.935 |
-14.030 |
0.0000 |
I(right-tail) |
0.117 |
0.133 |
0.877 |
0.3812 |
|log-return|*I(right-tail) |
11.811 |
12.947 |
0.912 |
0.3621 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
1.20 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.239 |
0.142 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.835 |
0.097 |
-8.563 |
0.0000 |
|log-return| |
-111.722 |
7.954 |
-14.045 |
0.0000 |
I(right-tail) |
0.265 |
0.131 |
2.022 |
0.0437 |
|log-return|*I(right-tail) |
0.231 |
10.705 |
0.022 |
0.9828 |
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 |
| -0.02 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.01 |
0.03 |
0.03 |
2.30 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.066 |
0.161 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.853 |
0.097 |
-8.839 |
0.0000 |
|log-return| |
-157.056 |
11.257 |
-13.952 |
0.0000 |
I(right-tail) |
0.317 |
0.130 |
2.432 |
0.0154 |
|log-return|*I(right-tail) |
6.782 |
14.644 |
0.463 |
0.6435 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
1.55 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Skew Normal |
0.457 |
0.388 |
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 |
0.099 |
-8.335 |
0.0000 |
|log-return| |
-124.989 |
8.998 |
-13.891 |
0.0000 |
I(right-tail) |
0.392 |
0.136 |
2.883 |
0.0041 |
|log-return|*I(right-tail) |
-24.818 |
12.990 |
-1.911 |
0.0566 |
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 |
| -0.06 |
-0.04 |
-0.02 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
1.80 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.278 |
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 |
-0.981 |
0.091 |
-10.750 |
0.0000 |
|log-return| |
-72.295 |
5.282 |
-13.687 |
0.0000 |
I(right-tail) |
0.368 |
0.125 |
2.949 |
0.0033 |
|log-return|*I(right-tail) |
-17.557 |
7.757 |
-2.263 |
0.0240 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
0.74 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.434 |
0.206 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.989 |
0.093 |
-10.649 |
0.0000 |
|log-return| |
-98.879 |
7.457 |
-13.261 |
0.0000 |
I(right-tail) |
0.410 |
0.127 |
3.226 |
0.0013 |
|log-return|*I(right-tail) |
-15.710 |
10.352 |
-1.518 |
0.1298 |
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 |
-0.05 |
-0.02 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.06 |
2.34 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.359 |
0.168 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.861 |
0.090 |
-9.556 |
0.0000 |
|log-return| |
-74.345 |
5.188 |
-14.331 |
0.0000 |
I(right-tail) |
0.306 |
0.128 |
2.381 |
0.0176 |
|log-return|*I(right-tail) |
-21.537 |
8.058 |
-2.673 |
0.0078 |
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 |
| -0.03 |
-0.02 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
2.02 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.145 |
0.243 |
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 |
0.093 |
-8.116 |
0.0000 |
|log-return| |
-142.466 |
9.723 |
-14.652 |
0.0000 |
I(right-tail) |
0.109 |
0.130 |
0.835 |
0.4041 |
|log-return|*I(right-tail) |
18.312 |
12.693 |
1.443 |
0.1497 |
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 |
| -0.03 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
2.47 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.185 |
0.225 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.743 |
0.098 |
-7.579 |
0.0000 |
|log-return| |
-110.975 |
7.725 |
-14.365 |
0.0000 |
I(right-tail) |
0.312 |
0.137 |
2.278 |
0.0231 |
|log-return|*I(right-tail) |
-9.811 |
10.855 |
-0.904 |
0.3665 |
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 |
| -0.04 |
-0.04 |
-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 |
-0.144 |
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 |
-0.936 |
0.095 |
-9.852 |
0.0000 |
|log-return| |
-87.371 |
6.403 |
-13.646 |
0.0000 |
I(right-tail) |
0.243 |
0.125 |
1.950 |
0.0518 |
|log-return|*I(right-tail) |
-1.897 |
8.636 |
-0.220 |
0.8262 |
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 |
| -0.05 |
-0.04 |
-0.02 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.04 |
0.05 |
1.73 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.494 |
0.141 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.777 |
0.086 |
-9.056 |
0.0000 |
|log-return| |
-75.791 |
5.232 |
-14.486 |
0.0000 |
I(right-tail) |
0.123 |
0.130 |
0.942 |
0.3464 |
|log-return|*I(right-tail) |
-7.977 |
7.721 |
-1.033 |
0.3020 |
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 |
| -0.07 |
-0.07 |
-0.04 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.06 |
0.06 |
3.32 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.361 |
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 |
-0.939 |
0.090 |
-10.417 |
0.0000 |
|log-return| |
-55.375 |
3.926 |
-14.104 |
0.0000 |
I(right-tail) |
0.321 |
0.125 |
2.580 |
0.0102 |
|log-return|*I(right-tail) |
-15.026 |
5.920 |
-2.538 |
0.0114 |
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 |
| -0.03 |
-0.02 |
-0.01 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.02 |
0.03 |
4.05 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.132 |
0.201 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.700 |
0.101 |
-6.932 |
0.0000 |
|log-return| |
-151.261 |
10.708 |
-14.126 |
0.0000 |
I(right-tail) |
0.228 |
0.140 |
1.630 |
0.1036 |
|log-return|*I(right-tail) |
-4.549 |
14.680 |
-0.310 |
0.7568 |
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 |
| -0.02 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.02 |
0.03 |
1.16 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.189 |
0.168 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.738 |
0.096 |
-7.668 |
0.0000 |
|log-return| |
-147.791 |
10.366 |
-14.258 |
0.0000 |
I(right-tail) |
0.226 |
0.138 |
1.635 |
0.1027 |
|log-return|*I(right-tail) |
-0.828 |
14.274 |
-0.058 |
0.9538 |
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 |
| -0.03 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.02 |
0.03 |
3.37 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.055 |
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 |
-0.865 |
0.097 |
-8.938 |
0.0000 |
|log-return| |
-130.206 |
9.320 |
-13.970 |
0.0000 |
I(right-tail) |
0.410 |
0.133 |
3.086 |
0.0021 |
|log-return|*I(right-tail) |
-28.856 |
13.598 |
-2.122 |
0.0343 |
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 |
| -0.05 |
-0.03 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.01 |
0.02 |
0.04 |
1.98 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.284 |
0.132 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-1.284 |
0.092 |
-13.965 |
0.0000 |
|log-return| |
-86.455 |
7.053 |
-12.259 |
0.0000 |
I(right-tail) |
0.590 |
0.123 |
4.793 |
0.0000 |
|log-return|*I(right-tail) |
-43.565 |
11.093 |
-3.927 |
0.0001 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.802 |
0.804 |
0.551 |
0.627 |
NEE
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 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
2.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.160 |
0.172 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.839 |
0.095 |
-8.812 |
0.0000 |
|log-return| |
-142.506 |
10.127 |
-14.072 |
0.0000 |
I(right-tail) |
0.291 |
0.131 |
2.230 |
0.0262 |
|log-return|*I(right-tail) |
-2.081 |
13.640 |
-0.153 |
0.8788 |
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 |
| -0.04 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.04 |
1.62 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.152 |
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 |
-0.765 |
0.093 |
-8.239 |
0.0000 |
|log-return| |
-97.647 |
6.717 |
-14.538 |
0.0000 |
I(right-tail) |
0.031 |
0.127 |
0.241 |
0.8095 |
|log-return|*I(right-tail) |
6.943 |
9.003 |
0.771 |
0.4410 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.04 |
0.87 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.104 |
0.215 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.786 |
0.101 |
-7.762 |
0.0000 |
|log-return| |
-115.233 |
8.247 |
-13.972 |
0.0000 |
I(right-tail) |
0.247 |
0.133 |
1.849 |
0.0650 |
|log-return|*I(right-tail) |
0.809 |
10.884 |
0.074 |
0.9408 |
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 |
| -0.05 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
2.28 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.181 |
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 |
-0.907 |
0.093 |
-9.746 |
0.0000 |
|log-return| |
-93.852 |
6.723 |
-13.961 |
0.0000 |
I(right-tail) |
0.142 |
0.123 |
1.154 |
0.2492 |
|log-return|*I(right-tail) |
6.230 |
8.862 |
0.703 |
0.4824 |
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 |
| -0.05 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.235 |
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 |
-0.785 |
0.092 |
-8.489 |
0.0000 |
|log-return| |
-105.740 |
7.314 |
-14.458 |
0.0000 |
I(right-tail) |
0.243 |
0.133 |
1.831 |
0.0677 |
|log-return|*I(right-tail) |
-16.387 |
10.809 |
-1.516 |
0.1302 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.04 |
2.36 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.149 |
0.137 |
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 |
0.092 |
-9.715 |
0.0000 |
|log-return| |
-106.899 |
7.624 |
-14.021 |
0.0000 |
I(right-tail) |
0.245 |
0.126 |
1.936 |
0.0535 |
|log-return|*I(right-tail) |
2.493 |
10.151 |
0.246 |
0.8061 |
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 |
| -0.08 |
-0.06 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.06 |
0.06 |
1.76 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.075 |
0.091 |
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 |
0.083 |
-11.376 |
0.0000 |
|log-return| |
-49.612 |
3.553 |
-13.962 |
0.0000 |
I(right-tail) |
0.008 |
0.120 |
0.063 |
0.9497 |
|log-return|*I(right-tail) |
-2.698 |
5.215 |
-0.517 |
0.6051 |
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 |
| -0.03 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
1.50 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.272 |
0.188 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.890 |
0.097 |
-9.207 |
0.0000 |
|log-return| |
-123.993 |
8.937 |
-13.874 |
0.0000 |
I(right-tail) |
0.499 |
0.136 |
3.677 |
0.0003 |
|log-return|*I(right-tail) |
-27.593 |
13.033 |
-2.117 |
0.0347 |
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 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
0.52 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.462 |
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 |
-0.889 |
0.092 |
-9.651 |
0.0000 |
|log-return| |
-108.180 |
7.706 |
-14.039 |
0.0000 |
I(right-tail) |
0.498 |
0.134 |
3.711 |
0.0002 |
|log-return|*I(right-tail) |
-31.616 |
11.734 |
-2.694 |
0.0073 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.02 |
0.03 |
0.49 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.371 |
0.205 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.719 |
0.097 |
-7.399 |
0.0000 |
|log-return| |
-127.534 |
8.861 |
-14.393 |
0.0000 |
I(right-tail) |
0.255 |
0.137 |
1.860 |
0.0635 |
|log-return|*I(right-tail) |
-19.859 |
12.968 |
-1.531 |
0.1263 |
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 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.01 |
0.02 |
0.02 |
1.96 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Skew Normal |
0.132 |
0.313 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.724 |
0.096 |
-7.556 |
0.0000 |
|log-return| |
-186.073 |
12.942 |
-14.377 |
0.0000 |
I(right-tail) |
0.230 |
0.137 |
1.682 |
0.0932 |
|log-return|*I(right-tail) |
1.299 |
17.681 |
0.073 |
0.9415 |
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 |
| -0.03 |
-0.02 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
1.09 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.458 |
0.215 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.747 |
0.103 |
-7.238 |
0.0000 |
|log-return| |
-135.752 |
9.856 |
-13.773 |
0.0000 |
I(right-tail) |
0.344 |
0.140 |
2.454 |
0.0145 |
|log-return|*I(right-tail) |
-7.617 |
13.312 |
-0.572 |
0.5675 |
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 |
| -0.03 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
1.58 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.196 |
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 |
-0.779 |
0.097 |
-8.057 |
0.0000 |
|log-return| |
-127.346 |
8.897 |
-14.313 |
0.0000 |
I(right-tail) |
0.162 |
0.131 |
1.236 |
0.2172 |
|log-return|*I(right-tail) |
6.735 |
11.933 |
0.564 |
0.5727 |
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 |
-0.03 |
-0.01 |
0.00 |
0.01 |
0.04 |
0.06 |
0.07 |
1.01 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.146 |
0.244 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.666 |
0.100 |
-6.657 |
0.0000 |
|log-return| |
-62.703 |
4.311 |
-14.546 |
0.0000 |
I(right-tail) |
0.183 |
0.140 |
1.307 |
0.1919 |
|log-return|*I(right-tail) |
-6.712 |
6.235 |
-1.077 |
0.2822 |
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 |
| -0.07 |
-0.04 |
-0.02 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.04 |
0.47 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.041 |
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 |
-0.868 |
0.093 |
-9.347 |
0.0000 |
|log-return| |
-80.901 |
5.776 |
-14.007 |
0.0000 |
I(right-tail) |
0.245 |
0.127 |
1.923 |
0.0551 |
|log-return|*I(right-tail) |
-18.979 |
8.603 |
-2.206 |
0.0278 |
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 |
| -0.03 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
0.00 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.088 |
0.183 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.845 |
0.097 |
-8.712 |
0.0000 |
|log-return| |
-126.838 |
9.035 |
-14.038 |
0.0000 |
I(right-tail) |
0.341 |
0.133 |
2.565 |
0.0106 |
|log-return|*I(right-tail) |
-9.967 |
12.485 |
-0.798 |
0.4251 |
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 |
| -0.05 |
-0.04 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.06 |
0.07 |
1.48 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.290 |
0.256 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.748 |
0.087 |
-8.572 |
0.0000 |
|log-return| |
-76.937 |
5.107 |
-15.066 |
0.0000 |
I(right-tail) |
0.012 |
0.127 |
0.092 |
0.9270 |
|log-return|*I(right-tail) |
5.987 |
6.997 |
0.856 |
0.3926 |
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 |
| -0.03 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
0.81 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.206 |
0.323 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.773 |
0.096 |
-8.059 |
0.0000 |
|log-return| |
-123.684 |
8.628 |
-14.335 |
0.0000 |
I(right-tail) |
0.229 |
0.133 |
1.719 |
0.0863 |
|log-return|*I(right-tail) |
-7.568 |
12.023 |
-0.629 |
0.5294 |
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 |
| -0.04 |
-0.04 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.03 |
0.04 |
3.18 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.146 |
0.245 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.598 |
0.099 |
-6.013 |
0.0000 |
|log-return| |
-93.592 |
6.304 |
-14.847 |
0.0000 |
I(right-tail) |
0.130 |
0.142 |
0.916 |
0.3603 |
|log-return|*I(right-tail) |
-5.749 |
9.127 |
-0.630 |
0.5290 |
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 |
| -0.05 |
-0.05 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.05 |
0.06 |
1.54 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.293 |
0.290 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.692 |
0.091 |
-7.633 |
0.0000 |
|log-return| |
-85.832 |
5.655 |
-15.179 |
0.0000 |
I(right-tail) |
0.053 |
0.130 |
0.407 |
0.6841 |
|log-return|*I(right-tail) |
13.092 |
7.426 |
1.763 |
0.0785 |
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 |
| -0.05 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
1.92 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.037 |
0.218 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.676 |
0.095 |
-7.121 |
0.0000 |
|log-return| |
-106.006 |
7.145 |
-14.835 |
0.0000 |
I(right-tail) |
0.128 |
0.136 |
0.939 |
0.3482 |
|log-return|*I(right-tail) |
1.730 |
9.922 |
0.174 |
0.8617 |
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 |
0.04 |
0.04 |
3.26 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.315 |
0.177 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.872 |
0.090 |
-9.711 |
0.0000 |
|log-return| |
-73.218 |
5.064 |
-14.459 |
0.0000 |
I(right-tail) |
0.311 |
0.127 |
2.438 |
0.0151 |
|log-return|*I(right-tail) |
-17.785 |
7.682 |
-2.315 |
0.0210 |
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 |
| -0.04 |
-0.03 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
2.63 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.231 |
0.207 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.743 |
0.094 |
-7.907 |
0.0000 |
|log-return| |
-113.842 |
7.766 |
-14.658 |
0.0000 |
I(right-tail) |
0.252 |
0.134 |
1.877 |
0.0610 |
|log-return|*I(right-tail) |
-7.198 |
10.982 |
-0.655 |
0.5125 |
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 |
| -0.04 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
1.41 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.131 |
0.132 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.778 |
0.094 |
-8.253 |
0.0000 |
|log-return| |
-96.052 |
6.706 |
-14.323 |
0.0000 |
I(right-tail) |
0.131 |
0.132 |
0.986 |
0.3246 |
|log-return|*I(right-tail) |
-1.666 |
9.562 |
-0.174 |
0.8617 |
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 |
| -0.09 |
-0.07 |
-0.04 |
-0.03 |
-0.01 |
0.00 |
0.01 |
0.04 |
0.07 |
0.07 |
2.81 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
-0.202 |
0.205 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.846 |
0.091 |
-9.275 |
0.0000 |
|log-return| |
-54.238 |
3.771 |
-14.384 |
0.0000 |
I(right-tail) |
0.071 |
0.126 |
0.560 |
0.5758 |
|log-return|*I(right-tail) |
-2.723 |
5.383 |
-0.506 |
0.6132 |
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 |
| -0.06 |
-0.05 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.04 |
0.05 |
2.94 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.341 |
0.187 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.776 |
0.089 |
-8.685 |
0.0000 |
|log-return| |
-73.660 |
4.952 |
-14.874 |
0.0000 |
I(right-tail) |
0.258 |
0.132 |
1.956 |
0.0510 |
|log-return|*I(right-tail) |
-14.856 |
7.592 |
-1.957 |
0.0509 |
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 |
| -0.06 |
-0.05 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.05 |
0.06 |
2.78 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.204 |
0.173 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.828 |
0.088 |
-9.414 |
0.0000 |
|log-return| |
-79.297 |
5.353 |
-14.812 |
0.0000 |
I(right-tail) |
0.186 |
0.126 |
1.475 |
0.1408 |
|log-return|*I(right-tail) |
-6.756 |
7.766 |
-0.870 |
0.3848 |
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 |
-0.05 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.04 |
0.05 |
2.26 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.226 |
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 |
-0.901 |
0.091 |
-9.904 |
0.0000 |
|log-return| |
-72.133 |
5.152 |
-14.002 |
0.0000 |
I(right-tail) |
0.299 |
0.127 |
2.359 |
0.0187 |
|log-return|*I(right-tail) |
-15.850 |
7.641 |
-2.074 |
0.0386 |
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 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.03 |
0.07 |
0.08 |
2.87 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Laplace |
0.602 |
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 |
-1.231 |
0.076 |
-16.114 |
0.0000 |
|log-return| |
-29.782 |
2.463 |
-12.091 |
0.0000 |
I(right-tail) |
0.430 |
0.113 |
3.790 |
0.0002 |
|log-return|*I(right-tail) |
-26.147 |
4.510 |
-5.797 |
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 |
-0.07 |
-0.03 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.04 |
0.05 |
0.06 |
0.98 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.017 |
0.195 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.623 |
0.095 |
-6.526 |
0.0000 |
|log-return| |
-61.804 |
4.120 |
-15.003 |
0.0000 |
I(right-tail) |
0.012 |
0.141 |
0.086 |
0.9315 |
|log-return|*I(right-tail) |
-3.978 |
6.151 |
-0.647 |
0.5182 |
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 |
| -0.05 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.03 |
1.75 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.003 |
0.111 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.982 |
0.085 |
-11.554 |
0.0000 |
|log-return| |
-85.038 |
6.014 |
-14.139 |
0.0000 |
I(right-tail) |
0.281 |
0.123 |
2.286 |
0.0227 |
|log-return|*I(right-tail) |
-18.289 |
9.217 |
-1.984 |
0.0478 |
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 |
| -0.04 |
-0.04 |
-0.02 |
-0.01 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.03 |
0.04 |
1.91 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
0.213 |
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 |
-0.789 |
0.091 |
-8.673 |
0.0000 |
|log-return| |
-104.729 |
7.139 |
-14.671 |
0.0000 |
I(right-tail) |
0.209 |
0.130 |
1.609 |
0.1083 |
|log-return|*I(right-tail) |
-12.469 |
10.435 |
-1.195 |
0.2327 |
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 |
| -0.05 |
-0.04 |
-0.02 |
-0.02 |
-0.01 |
0.00 |
0.01 |
0.02 |
0.04 |
0.05 |
0.66 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.283 |
0.140 |
Linear regression results [Model: y=log(percentile of log-return), x=|log-return|]
| Variable | Coef(b) | s.e.(b) | t-value | P-value |
| Constant |
-0.764 |
0.090 |
-8.443 |
0.0000 |
|log-return| |
-89.024 |
5.987 |
-14.869 |
0.0000 |
I(right-tail) |
-0.002 |
0.125 |
-0.016 |
0.9869 |
|log-return|*I(right-tail) |
4.324 |
8.244 |
0.525 |
0.6001 |
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 |
0.03 |
0.07 |
0.08 |
2.30 |
Daily log-return distribution fitting results
| Distribution | Location, a | Scale, b |
| Logistic |
-0.154 |
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 |
-0.752 |
0.094 |
-7.984 |
0.0000 |
|log-return| |
-66.004 |
4.508 |
-14.642 |
0.0000 |
I(right-tail) |
0.051 |
0.127 |
0.398 |
0.6910 |
|log-return|*I(right-tail) |
6.432 |
5.941 |
1.083 |
0.2795 |
Hurst exponent (of daily return price)
| 12-day | 24-day | 48-day | 96-day |
| 0.657 |
0.329 |
0.317 |
0.230 |
