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	0.05	0.05	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.232	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	-0.869	0.093	-9.290	0.0000
|log-return|	-91.875	6.504	-14.126	0.0000
I(right-tail)	0.180	0.125	1.438	0.1510
|log-return|*I(right-tail)	-0.658	8.767	-0.075	0.9402

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
-0.10	-0.08	-0.05	-0.03	-0.02	0.00	0.02	0.05	0.09	0.09	2.18

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.325	0.130

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.820	0.088	-9.362	0.0000
|log-return|	-39.331	2.717	-14.477	0.0000
I(right-tail)	0.124	0.126	0.979	0.3282
|log-return|*I(right-tail)	-5.072	4.003	-1.267	0.2057

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
-0.07	-0.06	-0.04	-0.02	-0.01	0.00	0.01	0.03	0.07	0.07	0.66

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.190	0.190

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.767	0.090	-8.533	0.0000
|log-return|	-59.957	4.016	-14.928	0.0000
I(right-tail)	0.113	0.128	0.882	0.3782
|log-return|*I(right-tail)	-3.905	5.795	-0.674	0.5007

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	-0.02	-0.01	-0.01	0.00	0.00	0.01	0.02	0.02	0.02	3.33

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.370	0.167

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	0.096	-7.963	0.0000
|log-return|	-167.829	11.584	-14.488	0.0000
I(right-tail)	0.170	0.131	1.300	0.1942
|log-return|*I(right-tail)	13.826	15.243	0.907	0.3648

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	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.04	2.38

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.539	0.283

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	0.087	-9.740	0.0000
|log-return|	-80.558	5.512	-14.614	0.0000
I(right-tail)	0.282	0.128	2.201	0.0282
|log-return|*I(right-tail)	-21.025	8.607	-2.443	0.0149

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	2.49

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.239	0.105

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	0.089	-9.408	0.0000
|log-return|	-72.008	4.958	-14.523	0.0000
I(right-tail)	-0.042	0.122	-0.345	0.7299
|log-return|*I(right-tail)	9.505	6.620	1.436	0.1517

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
-0.12	-0.07	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.05	0.05	1.85

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.537	0.116

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.946	0.082	-11.515	0.0000
|log-return|	-39.704	2.821	-14.076	0.0000
I(right-tail)	0.321	0.128	2.516	0.0122
|log-return|*I(right-tail)	-24.964	5.225	-4.777	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	0.04	1.73

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.157	0.174

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.914	0.086	-10.623	0.0000
|log-return|	-85.041	5.837	-14.569	0.0000
I(right-tail)	0.338	0.126	2.668	0.0079
|log-return|*I(right-tail)	-25.425	9.233	-2.754	0.0061

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
-0.04	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	2.06

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.060	0.190

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.836	0.093	-8.950	0.0000
|log-return|	-96.575	6.719	-14.373	0.0000
I(right-tail)	0.264	0.128	2.060	0.0399
|log-return|*I(right-tail)	3.844	8.896	0.432	0.6658

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	-0.04	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.04	0.05	2.21

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.137	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	-0.804	0.092	-8.719	0.0000
|log-return|	-81.535	5.601	-14.557	0.0000
I(right-tail)	0.220	0.129	1.707	0.0884
|log-return|*I(right-tail)	-10.647	8.112	-1.313	0.1899

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
-0.03	-0.03	-0.01	-0.01	0.00	0.00	0.01	0.02	0.03	0.03	1.59

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.260	0.264

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.827	0.092	-8.952	0.0000
|log-return|	-140.852	9.832	-14.326	0.0000
I(right-tail)	0.200	0.129	1.546	0.1226
|log-return|*I(right-tail)	-3.900	13.582	-0.287	0.7741

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
-0.04	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.03	2.26

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.098	0.197

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.825	0.090	-9.163	0.0000
|log-return|	-109.227	7.472	-14.618	0.0000
I(right-tail)	0.307	0.133	2.316	0.0210
|log-return|*I(right-tail)	-8.665	10.741	-0.807	0.4202

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
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.03	0.04	0.05	3.73

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.277	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	-0.814	0.089	-9.183	0.0000
|log-return|	-80.422	5.482	-14.669	0.0000
I(right-tail)	0.285	0.131	2.183	0.0295
|log-return|*I(right-tail)	-12.650	8.162	-1.550	0.1218

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
-0.04	-0.03	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.03	3.39

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Skew Normal	0.382	0.353

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	-8.333	0.0000
|log-return|	-124.652	8.969	-13.898	0.0000
I(right-tail)	0.391	0.136	2.875	0.0042
|log-return|*I(right-tail)	-25.024	12.963	-1.930	0.0541

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	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.06	2.80

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.358	0.170

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	0.090	-9.410	0.0000
|log-return|	-74.588	5.194	-14.360	0.0000
I(right-tail)	0.295	0.129	2.287	0.0226
|log-return|*I(right-tail)	-21.239	8.071	-2.632	0.0088

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	-0.06	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.455	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	-0.962	0.089	-10.777	0.0000
|log-return|	-73.580	5.243	-14.034	0.0000
I(right-tail)	0.441	0.127	3.458	0.0006
|log-return|*I(right-tail)	-23.418	8.058	-2.906	0.0038

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	0.04	0.37

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.357	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	-0.822	0.094	-8.753	0.0000
|log-return|	-87.338	6.093	-14.334	0.0000
I(right-tail)	0.343	0.133	2.588	0.0099
|log-return|*I(right-tail)	-22.324	9.249	-2.414	0.0161

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
-0.04	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.03	0.04	0.04	2.80

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.014	0.228

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.599	0.095	-6.293	0.0000
|log-return|	-109.336	7.211	-15.163	0.0000
I(right-tail)	0.010	0.137	0.073	0.9420
|log-return|*I(right-tail)	12.822	9.671	1.326	0.1855

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
-0.03	-0.03	-0.02	-0.01	0.00	0.00	0.01	0.02	0.02	0.03	1.14

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.052	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	-0.866	0.096	-8.983	0.0000
|log-return|	-130.493	9.321	-14.000	0.0000
I(right-tail)	0.404	0.133	3.046	0.0024
|log-return|*I(right-tail)	-28.244	13.596	-2.077	0.0383

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	-0.01	-0.01	0.00	0.00	0.01	0.02	0.03	0.04	2.24

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Skew Normal	0.299	0.347

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.851	0.094	-9.072	0.0000
|log-return|	-125.726	8.856	-14.197	0.0000
I(right-tail)	0.396	0.133	2.985	0.0030
|log-return|*I(right-tail)	-20.374	12.790	-1.593	0.1118

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
-0.03	-0.02	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.03	5.26

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.456	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	-0.744	0.103	-7.227	0.0000
|log-return|	-135.422	9.812	-13.802	0.0000
I(right-tail)	0.335	0.140	2.393	0.0171
|log-return|*I(right-tail)	-7.795	13.283	-0.587	0.5576

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	0.03	0.04	2.17

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.380	0.138

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.904	0.084	-10.815	0.0000
|log-return|	-93.032	6.414	-14.505	0.0000
I(right-tail)	0.281	0.125	2.252	0.0248
|log-return|*I(right-tail)	-19.426	9.751	-1.992	0.0469

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
-0.03	-0.03	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.03	2.29

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.222	0.186

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.699	0.095	-7.350	0.0000
|log-return|	-139.513	9.430	-14.794	0.0000
I(right-tail)	0.139	0.135	1.023	0.3070
|log-return|*I(right-tail)	5.838	12.931	0.451	0.6518

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
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.03	0.04	0.04	2.52

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.068	0.202

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.755	0.096	-7.864	0.0000
|log-return|	-84.901	5.865	-14.475	0.0000
I(right-tail)	0.208	0.134	1.545	0.1229
|log-return|*I(right-tail)	-10.116	8.499	-1.190	0.2345

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
-0.04	-0.04	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.03	0.04	1.97

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.149	0.246

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.595	0.099	-5.986	0.0000
|log-return|	-93.467	6.295	-14.847	0.0000
I(right-tail)	0.131	0.142	0.923	0.3562
|log-return|*I(right-tail)	-5.907	9.124	-0.647	0.5176

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
-0.04	-0.03	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.04	1.95

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.230	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	-0.733	0.094	-7.837	0.0000
|log-return|	-114.249	7.761	-14.721	0.0000
I(right-tail)	0.228	0.134	1.707	0.0884
|log-return|*I(right-tail)	-6.349	10.978	-0.578	0.5633

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	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	1.78

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.191	0.199

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.655	0.093	-7.013	0.0000
|log-return|	-67.961	4.507	-15.077	0.0000
I(right-tail)	0.068	0.134	0.508	0.6119
|log-return|*I(right-tail)	-6.845	6.678	-1.025	0.3058

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
-0.07	-0.07	-0.04	-0.03	-0.01	0.00	0.01	0.03	0.06	0.07	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.274	0.281

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	0.094	-7.203	0.0000
|log-return|	-57.670	3.870	-14.903	0.0000
I(right-tail)	-0.012	0.134	-0.092	0.9265
|log-return|*I(right-tail)	-8.788	5.927	-1.483	0.1388

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
-0.06	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	1.75

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.243	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	-0.827	0.092	-9.025	0.0000
|log-return|	-77.081	5.321	-14.486	0.0000
I(right-tail)	0.265	0.130	2.037	0.0422
|log-return|*I(right-tail)	-14.162	7.910	-1.791	0.0740

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
-0.04	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.04	3.87

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.215	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	-0.781	0.091	-8.543	0.0000
|log-return|	-104.207	7.093	-14.692	0.0000
I(right-tail)	0.194	0.130	1.493	0.1361
|log-return|*I(right-tail)	-12.816	10.394	-1.233	0.2182

Hurst exponent (of daily return price)

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