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	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.105	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	-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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.029	0.719	0.958	0.775

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	-0.03	-0.01	0.00	0.01	0.04	0.12	0.17	0.26

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.108	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	-1.136	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.469	0.432	0.323	0.770

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	0.12

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.028	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	-0.985	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.263	0.321	0.576	0.767

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	1.35

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.310	0.080

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.811	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.847	0.903	0.967	0.764

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	0.02

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.276	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	-0.775	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.501	0.669	0.827	0.733

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	0.07	1.08

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.157	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	-0.849	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.435	0.226	0.391	0.719

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	0.07	0.36

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.424	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	-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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.612	0.681	0.750	0.713

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	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	0.90

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.009	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	-0.876	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.226	0.591	0.862	0.712

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	0.20

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.355	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	-0.705	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.717	0.693	0.694	0.706

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	0.79

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.473	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	-0.734	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.619	0.710	0.786	0.702

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	1.13

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.138	0.148

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.859	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.634	0.677	0.890	0.687

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	0.37

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.162	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	-0.810	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.728	0.727	0.866	0.674

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.10	-0.07	-0.04	-0.02	-0.01	0.00	0.01	0.03	0.08	0.10	0.87

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.026	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	-0.982	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.733	0.464	0.801	0.663

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	0.73

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.517	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	-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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.433	0.627	0.889	0.646

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.18

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.105	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	-0.873	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.698	0.432	0.736	0.646

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.48

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.305	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	-0.800	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.890	0.785	0.833	0.638

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	0.94

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.280	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	-0.903	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.521	0.357	0.660	0.616

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	0.04	0.05	1.90

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.272	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	-0.843	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.721	0.864	0.790	0.612

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	0.14

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.038	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	-0.750	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.357	0.569	0.880	0.589

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	0.47

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.185	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	-0.728	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.277	0.862	0.808	0.527

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	0.36

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.399	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	-0.781	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.753	0.936	0.943	0.527

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	1.44

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.187	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	-0.814	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.636	0.646	0.604	0.520

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	-0.298	0.080

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.845	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.704	0.918	0.776	0.519

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	0.07	1.09

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.230	0.078

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.959	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.665	0.650	0.756	0.479

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	0.47

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.149	0.134

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.734	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.855	0.482	0.428	0.478

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	0.86

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.752	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	-1.094	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.601	0.762	0.606	0.421

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	0.08	0.64

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.125	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	-0.807	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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.545	0.718	0.722	0.418

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.11	-0.09	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.10	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.145	0.166

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	0.038	-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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.586	0.598	0.603	0.354

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	0.23

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.305	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	-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

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.672	0.677	0.464	0.316

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	0.15

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.036	0.080

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.896	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

Hurst exponent (of daily return price)

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