Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.09	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.11	-0.01

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.098	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	-1.038	0.053	-19.737	0.0000
|log-return|	-49.916	2.222	-22.462	0.0000
I(right-tail)	0.083	0.071	1.158	0.2472
|log-return|*I(right-tail)	1.515	3.023	0.501	0.6162

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
-0.21	-0.14	-0.07	-0.04	-0.02	0.00	0.02	0.06	0.17	0.23	0.85

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.094	0.144

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.967	0.050	-19.372	0.0000
|log-return|	-23.377	0.993	-23.541	0.0000
I(right-tail)	-0.029	0.071	-0.401	0.6883
|log-return|*I(right-tail)	-0.682	1.435	-0.475	0.6346

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
-0.13	-0.10	-0.05	-0.03	-0.01	0.00	0.01	0.05	0.13	0.16	0.37

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.040	0.158

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	0.052	-17.238	0.0000
|log-return|	-35.569	1.484	-23.964	0.0000
I(right-tail)	-0.039	0.073	-0.540	0.5894
|log-return|*I(right-tail)	2.269	2.045	1.110	0.2673

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
-0.05	-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	-0.300	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	-0.912	0.054	-16.902	0.0000
|log-return|	-110.238	4.695	-23.478	0.0000
I(right-tail)	0.031	0.075	0.418	0.6761
|log-return|*I(right-tail)	10.605	6.355	1.669	0.0954

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	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.07	0.06

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.275	0.193

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.794	0.057	-14.049	0.0000
|log-return|	-73.320	3.064	-23.927	0.0000
I(right-tail)	0.032	0.078	0.408	0.6830
|log-return|*I(right-tail)	2.389	4.228	0.565	0.5721

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
-0.10	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	1.87

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.150	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	-0.916	0.053	-17.133	0.0000
|log-return|	-52.669	2.263	-23.273	0.0000
I(right-tail)	0.115	0.076	1.507	0.1321
|log-return|*I(right-tail)	-8.144	3.387	-2.404	0.0164

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
-0.08	-0.07	-0.04	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	0.91

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.426	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	-0.878	0.054	-16.232	0.0000
|log-return|	-49.042	2.099	-23.363	0.0000
I(right-tail)	0.143	0.078	1.848	0.0648
|log-return|*I(right-tail)	-12.365	3.290	-3.758	0.0002

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.05	0.07	1.31

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.088	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	-0.843	0.057	-14.853	0.0000
|log-return|	-76.386	3.237	-23.597	0.0000
I(right-tail)	0.172	0.079	2.178	0.0296
|log-return|*I(right-tail)	-7.290	4.666	-1.562	0.1185

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	0.58

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.349	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	-0.785	0.057	-13.687	0.0000
|log-return|	-70.117	2.941	-23.838	0.0000
I(right-tail)	0.031	0.078	0.395	0.6929
|log-return|*I(right-tail)	7.791	3.875	2.011	0.0446

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
-0.07	-0.06	-0.04	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	1.20

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.474	0.238

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	0.057	-13.104	0.0000
|log-return|	-62.723	2.618	-23.957	0.0000
I(right-tail)	0.055	0.080	0.685	0.4936
|log-return|*I(right-tail)	-0.927	3.678	-0.252	0.8010

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
-0.05	-0.04	-0.02	-0.01	0.00	0.00	0.01	0.02	0.04	0.04	1.14

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.137	0.159

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.911	0.055	-16.577	0.0000
|log-return|	-95.424	4.084	-23.368	0.0000
I(right-tail)	0.164	0.077	2.133	0.0331
|log-return|*I(right-tail)	-8.284	5.866	-1.412	0.1581

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
-0.06	-0.04	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.56

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.099	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	-0.812	0.055	-14.719	0.0000
|log-return|	-78.979	3.300	-23.930	0.0000
I(right-tail)	0.132	0.080	1.646	0.0999
|log-return|*I(right-tail)	-1.787	4.694	-0.381	0.7035

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
-0.11	-0.09	-0.05	-0.03	-0.01	0.00	0.01	0.05	0.10	0.13	1.13

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.047	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	-0.928	0.053	-17.428	0.0000
|log-return|	-39.180	1.657	-23.648	0.0000
I(right-tail)	0.063	0.073	0.861	0.3894
|log-return|*I(right-tail)	-0.641	2.328	-0.276	0.7829

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
-0.06	-0.05	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.06	0.82

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.513	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	-0.875	0.056	-15.636	0.0000
|log-return|	-82.324	3.524	-23.359	0.0000
I(right-tail)	-0.002	0.076	-0.030	0.9763
|log-return|*I(right-tail)	8.836	4.710	1.876	0.0609

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
-0.08	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	0.40

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.116	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	-0.871	0.057	-15.328	0.0000
|log-return|	-56.166	2.414	-23.265	0.0000
I(right-tail)	0.226	0.079	2.867	0.0042
|log-return|*I(right-tail)	-10.798	3.588	-3.009	0.0027

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
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	0.44

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.301	0.194

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	0.056	-15.120	0.0000
|log-return|	-62.480	2.637	-23.694	0.0000
I(right-tail)	0.049	0.077	0.637	0.5243
|log-return|*I(right-tail)	2.787	3.593	0.776	0.4382

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
-0.09	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.07	1.30

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.276	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	-0.954	0.054	-17.532	0.0000
|log-return|	-59.236	2.590	-22.874	0.0000
I(right-tail)	0.104	0.074	1.403	0.1608
|log-return|*I(right-tail)	-1.479	3.641	-0.406	0.6846

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
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.07	0.86

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.270	0.154

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.818	0.055	-14.842	0.0000
|log-return|	-67.143	2.807	-23.921	0.0000
I(right-tail)	-0.014	0.077	-0.182	0.8558
|log-return|*I(right-tail)	4.016	3.867	1.039	0.2992

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
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.04	0.20

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.025	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	-0.832	0.060	-13.979	0.0000
|log-return|	-100.745	4.375	-23.026	0.0000
I(right-tail)	0.163	0.080	2.046	0.0410
|log-return|*I(right-tail)	-1.821	5.959	-0.305	0.7600

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
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.04	0.46

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.178	0.103

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.881	0.056	-15.636	0.0000
|log-return|	-95.695	4.123	-23.209	0.0000
I(right-tail)	0.136	0.077	1.756	0.0793
|log-return|*I(right-tail)	-3.351	5.786	-0.579	0.5626

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	-0.02	-0.01	0.00	0.01	0.02	0.04	0.06	0.85

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.397	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	-0.858	0.057	-15.009	0.0000
|log-return|	-84.372	3.622	-23.296	0.0000
I(right-tail)	0.072	0.077	0.935	0.3498
|log-return|*I(right-tail)	5.835	4.842	1.205	0.2284

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
-0.06	-0.05	-0.03	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	1.59

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.186	0.114

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.847	0.055	-15.526	0.0000
|log-return|	-83.694	3.500	-23.910	0.0000
I(right-tail)	0.126	0.077	1.629	0.1036
|log-return|*I(right-tail)	-2.366	4.957	-0.477	0.6332

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	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	1.15

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.295	0.090

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	0.058	-14.473	0.0000
|log-return|	-96.633	4.176	-23.139	0.0000
I(right-tail)	0.015	0.078	0.195	0.8456
|log-return|*I(right-tail)	10.782	5.502	1.960	0.0503

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
-0.10	-0.08	-0.04	-0.02	-0.01	0.00	0.01	0.03	0.07	0.10	1.38

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.344	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	-0.881	0.055	-16.083	0.0000
|log-return|	-49.458	2.088	-23.685	0.0000
I(right-tail)	0.038	0.076	0.504	0.6145
|log-return|*I(right-tail)	-1.644	2.979	-0.552	0.5811

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
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	0.51

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.036	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	-0.732	0.059	-12.484	0.0000
|log-return|	-66.298	2.774	-23.901	0.0000
I(right-tail)	0.040	0.082	0.486	0.6269
|log-return|*I(right-tail)	0.051	3.877	0.013	0.9895

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	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.07	0.91

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.012	0.114

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.881	0.054	-16.428	0.0000
|log-return|	-67.379	2.848	-23.659	0.0000
I(right-tail)	0.111	0.077	1.444	0.1489
|log-return|*I(right-tail)	-2.874	4.080	-0.704	0.4813

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
-0.08	-0.07	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.07	0.09	1.13

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.087	0.251

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.726	0.057	-12.625	0.0000
|log-return|	-53.896	2.228	-24.195	0.0000
I(right-tail)	0.051	0.080	0.640	0.5225
|log-return|*I(right-tail)	-1.092	3.151	-0.347	0.7290

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
-0.13	-0.11	-0.05	-0.04	-0.02	0.00	0.02	0.05	0.10	0.13	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.152	0.200

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.837	0.054	-15.558	0.0000
|log-return|	-35.128	1.461	-24.049	0.0000
I(right-tail)	0.001	0.077	0.009	0.9928
|log-return|*I(right-tail)	-3.428	2.187	-1.567	0.1173

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
-0.09	-0.07	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.08	0.10	0.49

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.305	0.070

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.926	0.054	-17.085	0.0000
|log-return|	-47.303	2.052	-23.055	0.0000
I(right-tail)	0.000	0.074	-0.004	0.9969
|log-return|*I(right-tail)	4.373	2.766	1.581	0.1141

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
-0.07	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.09	0.47

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.045	0.079

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.946	0.052	-18.208	0.0000
|log-return|	-65.188	2.811	-23.188	0.0000
I(right-tail)	0.014	0.073	0.190	0.8491
|log-return|*I(right-tail)	1.731	3.934	0.440	0.6601

Hurst exponent (of daily return price)

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