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 | 0.00 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.105 | 0.059 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.976 | 0.038 | -25.906 | 0.0000 |
|log-return| | -63.368 | 1.962 | -32.296 | 0.0000 |
I(right-tail) | 0.070 | 0.052 | 1.349 | 0.1775 |
|log-return|*I(right-tail) | 2.326 | 2.674 | 0.870 | 0.3844 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.029 | 0.719 | 0.958 | 0.775 |
0.5 | 1 | 5 | 10 | 25 | 50 | 75 | 90 | 95 | 99 | 99.5 |
---|---|---|---|---|---|---|---|---|---|---|
-0.14 | -0.11 | -0.04 | -0.03 | -0.01 | 0.00 | 0.01 | 0.04 | 0.12 | 0.17 | 0.26 |
Distribution | Location, a | Scale, b |
---|---|---|
Laplace | 0.108 | 0.083 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -1.136 | 0.034 | -33.711 | 0.0000 |
|log-return| | -29.051 | 0.908 | -32.012 | 0.0000 |
I(right-tail) | 0.017 | 0.047 | 0.368 | 0.7130 |
|log-return|*I(right-tail) | -1.360 | 1.304 | -1.043 | 0.2971 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.469 | 0.432 | 0.323 | 0.770 |
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 | 0.12 |
Distribution | Location, a | Scale, b |
---|---|---|
Laplace | 0.028 | 0.112 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.985 | 0.036 | -27.548 | 0.0000 |
|log-return| | -44.570 | 1.337 | -33.346 | 0.0000 |
I(right-tail) | -0.013 | 0.050 | -0.270 | 0.7875 |
|log-return|*I(right-tail) | 3.057 | 1.827 | 1.673 | 0.0944 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.263 | 0.321 | 0.576 | 0.767 |
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 | 1.35 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.310 | 0.080 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.811 | 0.039 | -20.614 | 0.0000 |
|log-return| | -133.203 | 3.928 | -33.913 | 0.0000 |
I(right-tail) | 0.002 | 0.055 | 0.041 | 0.9677 |
|log-return|*I(right-tail) | 14.693 | 5.268 | 2.789 | 0.0053 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.847 | 0.903 | 0.967 | 0.764 |
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 | 0.02 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.276 | 0.109 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.775 | 0.041 | -19.060 | 0.0000 |
|log-return| | -90.161 | 2.661 | -33.879 | 0.0000 |
I(right-tail) | 0.070 | 0.056 | 1.241 | 0.2146 |
|log-return|*I(right-tail) | 3.861 | 3.631 | 1.063 | 0.2877 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.501 | 0.669 | 0.827 | 0.733 |
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 | 0.07 | 1.08 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | 0.157 | 0.095 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.849 | 0.039 | -21.574 | 0.0000 |
|log-return| | -61.772 | 1.861 | -33.196 | 0.0000 |
I(right-tail) | 0.130 | 0.056 | 2.336 | 0.0196 |
|log-return|*I(right-tail) | -7.573 | 2.735 | -2.769 | 0.0057 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.435 | 0.226 | 0.391 | 0.719 |
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 | 0.07 | 0.36 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | 0.424 | 0.088 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.880 | 0.039 | -22.692 | 0.0000 |
|log-return| | -58.070 | 1.759 | -33.004 | 0.0000 |
I(right-tail) | 0.187 | 0.055 | 3.376 | 0.0007 |
|log-return|*I(right-tail) | -10.935 | 2.649 | -4.127 | 0.0000 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.612 | 0.681 | 0.750 | 0.713 |
0.5 | 1 | 5 | 10 | 25 | 50 | 75 | 90 | 95 | 99 | 99.5 |
---|---|---|---|---|---|---|---|---|---|---|
-0.05 | -0.05 | -0.02 | -0.01 | -0.01 | 0.00 | 0.01 | 0.02 | 0.04 | 0.05 | 0.90 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | 0.009 | 0.115 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.876 | 0.039 | -22.540 | 0.0000 |
|log-return| | -86.663 | 2.577 | -33.632 | 0.0000 |
I(right-tail) | 0.204 | 0.055 | 3.695 | 0.0002 |
|log-return|*I(right-tail) | -11.707 | 3.801 | -3.080 | 0.0021 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.226 | 0.591 | 0.862 | 0.712 |
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 | 0.20 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.355 | 0.126 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.705 | 0.041 | -17.180 | 0.0000 |
|log-return| | -82.695 | 2.399 | -34.475 | 0.0000 |
I(right-tail) | -0.043 | 0.057 | -0.757 | 0.4491 |
|log-return|*I(right-tail) | 10.473 | 3.175 | 3.299 | 0.0010 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.717 | 0.693 | 0.694 | 0.706 |
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 | 0.79 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.473 | 0.133 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.734 | 0.041 | -17.829 | 0.0000 |
|log-return| | -76.696 | 2.249 | -34.102 | 0.0000 |
I(right-tail) | 0.096 | 0.057 | 1.669 | 0.0952 |
|log-return|*I(right-tail) | 0.441 | 3.121 | 0.141 | 0.8877 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.619 | 0.710 | 0.786 | 0.702 |
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 | 1.13 |
Distribution | Location, a | Scale, b |
---|---|---|
Laplace | -0.138 | 0.148 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.859 | 0.039 | -21.759 | 0.0000 |
|log-return| | -116.370 | 3.485 | -33.396 | 0.0000 |
I(right-tail) | 0.168 | 0.056 | 3.026 | 0.0025 |
|log-return|*I(right-tail) | -7.134 | 4.953 | -1.441 | 0.1498 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.634 | 0.677 | 0.890 | 0.687 |
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 | 0.37 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | 0.162 | 0.111 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.810 | 0.039 | -20.892 | 0.0000 |
|log-return| | -84.806 | 2.513 | -33.746 | 0.0000 |
I(right-tail) | 0.120 | 0.057 | 2.116 | 0.0345 |
|log-return|*I(right-tail) | -5.937 | 3.652 | -1.626 | 0.1042 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.728 | 0.727 | 0.866 | 0.674 |
0.5 | 1 | 5 | 10 | 25 | 50 | 75 | 90 | 95 | 99 | 99.5 |
---|---|---|---|---|---|---|---|---|---|---|
-0.10 | -0.07 | -0.04 | -0.02 | -0.01 | 0.00 | 0.01 | 0.03 | 0.08 | 0.10 | 0.87 |
Distribution | Location, a | Scale, b |
---|---|---|
Laplace | 0.026 | 0.121 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.982 | 0.036 | -27.314 | 0.0000 |
|log-return| | -48.972 | 1.457 | -33.615 | 0.0000 |
I(right-tail) | 0.048 | 0.051 | 0.940 | 0.3471 |
|log-return|*I(right-tail) | 0.078 | 2.053 | 0.038 | 0.9697 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.733 | 0.464 | 0.801 | 0.663 |
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 | 0.73 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.517 | 0.098 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.803 | 0.041 | -19.443 | 0.0000 |
|log-return| | -95.365 | 2.861 | -33.335 | 0.0000 |
I(right-tail) | 0.062 | 0.056 | 1.095 | 0.2736 |
|log-return|*I(right-tail) | 6.867 | 3.852 | 1.783 | 0.0748 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.433 | 0.627 | 0.889 | 0.646 |
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 | 0.18 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | 0.105 | 0.118 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.873 | 0.039 | -22.368 | 0.0000 |
|log-return| | -70.126 | 2.101 | -33.385 | 0.0000 |
I(right-tail) | 0.202 | 0.055 | 3.648 | 0.0003 |
|log-return|*I(right-tail) | -10.677 | 3.107 | -3.437 | 0.0006 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.698 | 0.432 | 0.736 | 0.646 |
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 | 0.48 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.305 | 0.108 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.800 | 0.040 | -19.863 | 0.0000 |
|log-return| | -77.099 | 2.290 | -33.673 | 0.0000 |
I(right-tail) | 0.023 | 0.055 | 0.415 | 0.6780 |
|log-return|*I(right-tail) | 6.037 | 3.083 | 1.958 | 0.0503 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.890 | 0.785 | 0.833 | 0.638 |
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 | 0.94 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.280 | 0.085 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.903 | 0.041 | -22.201 | 0.0000 |
|log-return| | -73.307 | 2.280 | -32.149 | 0.0000 |
I(right-tail) | 0.198 | 0.055 | 3.573 | 0.0004 |
|log-return|*I(right-tail) | -4.745 | 3.222 | -1.473 | 0.1410 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.521 | 0.357 | 0.660 | 0.616 |
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 | 0.04 | 0.05 | 1.90 |
Distribution | Location, a | Scale, b |
---|---|---|
Laplace | -0.272 | 0.127 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.843 | 0.039 | -21.856 | 0.0000 |
|log-return| | -77.212 | 2.286 | -33.774 | 0.0000 |
I(right-tail) | 0.023 | 0.055 | 0.431 | 0.6667 |
|log-return|*I(right-tail) | 1.854 | 3.193 | 0.581 | 0.5615 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.721 | 0.864 | 0.790 | 0.612 |
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 | 0.14 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.038 | 0.128 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.750 | 0.044 | -17.174 | 0.0000 |
|log-return| | -106.055 | 3.222 | -32.919 | 0.0000 |
I(right-tail) | 0.129 | 0.058 | 2.221 | 0.0264 |
|log-return|*I(right-tail) | 5.651 | 4.254 | 1.328 | 0.1841 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.357 | 0.569 | 0.880 | 0.589 |
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 | 0.47 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.185 | 0.108 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.728 | 0.041 | -17.593 | 0.0000 |
|log-return| | -113.126 | 3.337 | -33.904 | 0.0000 |
I(right-tail) | 0.050 | 0.057 | 0.871 | 0.3838 |
|log-return|*I(right-tail) | 1.741 | 4.619 | 0.377 | 0.7062 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.277 | 0.862 | 0.808 | 0.527 |
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 | 0.36 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.399 | 0.102 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.781 | 0.041 | -18.980 | 0.0000 |
|log-return| | -98.502 | 2.934 | -33.578 | 0.0000 |
I(right-tail) | 0.086 | 0.057 | 1.518 | 0.1291 |
|log-return|*I(right-tail) | 3.653 | 4.010 | 0.911 | 0.3624 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.753 | 0.936 | 0.943 | 0.527 |
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 | 1.44 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.187 | 0.108 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.814 | 0.039 | -20.770 | 0.0000 |
|log-return| | -96.943 | 2.845 | -34.073 | 0.0000 |
I(right-tail) | 0.137 | 0.056 | 2.465 | 0.0138 |
|log-return|*I(right-tail) | -4.500 | 4.062 | -1.108 | 0.2681 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.636 | 0.646 | 0.604 | 0.520 |
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 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.298 | 0.080 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.845 | 0.041 | -20.658 | 0.0000 |
|log-return| | -113.472 | 3.460 | -32.800 | 0.0000 |
I(right-tail) | 0.063 | 0.056 | 1.128 | 0.2596 |
|log-return|*I(right-tail) | 8.040 | 4.634 | 1.735 | 0.0829 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.704 | 0.918 | 0.776 | 0.519 |
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 | 0.07 | 1.09 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.230 | 0.078 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.959 | 0.037 | -25.862 | 0.0000 |
|log-return| | -60.958 | 1.832 | -33.276 | 0.0000 |
I(right-tail) | 0.070 | 0.052 | 1.337 | 0.1814 |
|log-return|*I(right-tail) | -3.086 | 2.644 | -1.167 | 0.2432 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.665 | 0.650 | 0.756 | 0.479 |
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 | 0.47 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | 0.149 | 0.134 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.734 | 0.041 | -17.806 | 0.0000 |
|log-return| | -69.146 | 2.041 | -33.881 | 0.0000 |
I(right-tail) | 0.134 | 0.059 | 2.292 | 0.0220 |
|log-return|*I(right-tail) | -6.552 | 2.971 | -2.205 | 0.0275 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.855 | 0.482 | 0.428 | 0.478 |
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 | 0.86 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | 0.752 | 0.059 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -1.094 | 0.036 | -30.667 | 0.0000 |
|log-return| | -53.695 | 1.757 | -30.561 | 0.0000 |
I(right-tail) | 0.354 | 0.053 | 6.731 | 0.0000 |
|log-return|*I(right-tail) | -25.332 | 2.884 | -8.783 | 0.0000 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.601 | 0.762 | 0.606 | 0.421 |
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 | 0.08 | 0.64 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | 0.125 | 0.115 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.807 | 0.040 | -20.089 | 0.0000 |
|log-return| | -61.763 | 1.829 | -33.769 | 0.0000 |
I(right-tail) | 0.163 | 0.056 | 2.894 | 0.0038 |
|log-return|*I(right-tail) | -4.871 | 2.623 | -1.857 | 0.0635 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.545 | 0.718 | 0.722 | 0.418 |
0.5 | 1 | 5 | 10 | 25 | 50 | 75 | 90 | 95 | 99 | 99.5 |
---|---|---|---|---|---|---|---|---|---|---|
-0.11 | -0.09 | -0.04 | -0.03 | -0.01 | 0.00 | 0.01 | 0.04 | 0.08 | 0.10 | 0.00 |
Distribution | Location, a | Scale, b |
---|---|---|
Laplace | -0.145 | 0.166 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.872 | 0.038 | -22.890 | 0.0000 |
|log-return| | -43.618 | 1.292 | -33.757 | 0.0000 |
I(right-tail) | 0.071 | 0.054 | 1.308 | 0.1909 |
|log-return|*I(right-tail) | -4.909 | 1.923 | -2.553 | 0.0107 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.586 | 0.598 | 0.603 | 0.354 |
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 | 0.23 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.305 | 0.062 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.933 | 0.038 | -24.784 | 0.0000 |
|log-return| | -55.498 | 1.689 | -32.861 | 0.0000 |
I(right-tail) | 0.048 | 0.053 | 0.907 | 0.3643 |
|log-return|*I(right-tail) | 0.917 | 2.367 | 0.387 | 0.6986 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.672 | 0.677 | 0.464 | 0.316 |
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 | 0.15 |
Distribution | Location, a | Scale, b |
---|---|---|
Logistic | -0.036 | 0.080 |
Variable | Coef(b) | s.e.(b) | t-value | P-value |
---|---|---|---|---|
Constant | -0.896 | 0.039 | -22.722 | 0.0000 |
|log-return| | -78.607 | 2.408 | -32.646 | 0.0000 |
I(right-tail) | 0.141 | 0.055 | 2.580 | 0.0099 |
|log-return|*I(right-tail) | -3.084 | 3.407 | -0.905 | 0.3655 |
12-day | 24-day | 48-day | 96-day |
---|---|---|---|
0.429 | 0.491 | 0.462 | 0.236 |