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	0.98

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.003	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	-0.896	0.041	-22.081	0.0000
|log-return|	-88.810	2.701	-32.875	0.0000
I(right-tail)	0.220	0.055	3.967	0.0001
|log-return|*I(right-tail)	-12.887	3.921	-3.286	0.0010

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.537	0.345	0.561	0.773

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	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.08	0.10	0.74

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.157	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	-1.050	0.036	-28.981	0.0000
|log-return|	-50.898	1.559	-32.639	0.0000
I(right-tail)	0.055	0.050	1.101	0.2708
|log-return|*I(right-tail)	-1.537	2.211	-0.695	0.4870

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.439	0.358	0.734	0.745

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	0.38

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.258	0.151

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	0.039	-22.944	0.0000
|log-return|	-86.963	2.626	-33.111	0.0000
I(right-tail)	0.195	0.055	3.555	0.0004
|log-return|*I(right-tail)	-11.250	3.821	-2.944	0.0033

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.458	0.696	0.803	0.720

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	0.46

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.030	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	-0.864	0.043	-20.090	0.0000
|log-return|	-150.337	4.694	-32.027	0.0000
I(right-tail)	0.302	0.059	5.143	0.0000
|log-return|*I(right-tail)	-22.835	6.740	-3.388	0.0007

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.683	0.946	0.972	0.681

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	1.09

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.284	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	-0.837	0.042	-19.975	0.0000
|log-return|	-94.790	2.885	-32.858	0.0000
I(right-tail)	0.140	0.057	2.478	0.0133
|log-return|*I(right-tail)	-6.472	4.084	-1.585	0.1132

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.523	0.474	0.522	0.667

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	0.01	0.03	0.03	0.20

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.075	0.074

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	0.040	-22.450	0.0000
|log-return|	-118.006	3.633	-32.484	0.0000
I(right-tail)	0.206	0.056	3.679	0.0002
|log-return|*I(right-tail)	-14.852	5.308	-2.798	0.0052

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.441	0.855	0.943	0.647

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	0.72

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.313	0.093

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.884	0.041	-21.475	0.0000
|log-return|	-111.562	3.418	-32.642	0.0000
I(right-tail)	0.135	0.056	2.427	0.0153
|log-return|*I(right-tail)	-1.384	4.782	-0.289	0.7723

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.748	0.946	0.974	0.593

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	0.70

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.040	0.097

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	0.040	-23.267	0.0000
|log-return|	-61.825	1.906	-32.440	0.0000
I(right-tail)	0.282	0.056	5.075	0.0000
|log-return|*I(right-tail)	-13.857	2.877	-4.817	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.573	0.382	0.522	0.550

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	0.04	0.05	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.029	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	-0.855	0.041	-20.742	0.0000
|log-return|	-75.855	2.303	-32.944	0.0000
I(right-tail)	0.232	0.057	4.084	0.0000
|log-return|*I(right-tail)	-13.080	3.404	-3.843	0.0001

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.513	0.439	0.229	0.499