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	1.74

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.355	0.175

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.861	0.092	-9.319	0.0000
|log-return|	-88.226	6.169	-14.302	0.0000
I(right-tail)	0.302	0.130	2.331	0.0201
|log-return|*I(right-tail)	-21.539	9.319	-2.311	0.0212

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
-0.05	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	3.03

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.278	0.140

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	0.089	-10.088	0.0000
|log-return|	-71.574	4.993	-14.336	0.0000
I(right-tail)	0.262	0.126	2.073	0.0387
|log-return|*I(right-tail)	-14.900	7.497	-1.988	0.0474

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	0.00	0.00	0.01	0.02	0.03	0.03	2.93

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.347	0.287

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	0.089	-10.153	0.0000
|log-return|	-98.409	6.831	-14.406	0.0000
I(right-tail)	0.418	0.129	3.250	0.0012
|log-return|*I(right-tail)	-27.410	10.471	-2.618	0.0091

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	0.02	2.56

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.278	0.312

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	0.096	-9.532	0.0000
|log-return|	-154.936	11.204	-13.829	0.0000
I(right-tail)	0.462	0.134	3.452	0.0006
|log-return|*I(right-tail)	-33.661	16.294	-2.066	0.0394

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
-0.04	-0.03	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.04	2.56

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.242	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	-0.768	0.094	-8.139	0.0000
|log-return|	-111.001	7.636	-14.536	0.0000
I(right-tail)	0.214	0.133	1.613	0.1074
|log-return|*I(right-tail)	-12.024	10.998	-1.093	0.2748

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	0.02	0.03	0.03	2.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.182	0.254

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.958	0.094	-10.171	0.0000
|log-return|	-118.141	8.568	-13.789	0.0000
I(right-tail)	0.435	0.129	3.364	0.0008
|log-return|*I(right-tail)	-30.927	12.650	-2.445	0.0148

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
-0.02	-0.02	-0.01	-0.01	0.00	0.00	0.01	0.01	0.02	0.03	4.70

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.260	0.153

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	0.095	-8.656	0.0000
|log-return|	-153.707	11.037	-13.927	0.0000
I(right-tail)	0.260	0.132	1.975	0.0489
|log-return|*I(right-tail)	-7.848	15.120	-0.519	0.6039

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
-0.06	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	3.93

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.449	0.179

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	0.090	-9.112	0.0000
|log-return|	-77.311	5.288	-14.620	0.0000
I(right-tail)	0.253	0.129	1.958	0.0508
|log-return|*I(right-tail)	-18.137	8.115	-2.235	0.0259

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
Laplace	0.220	0.294

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.831	0.092	-9.029	0.0000
|log-return|	-78.195	5.403	-14.473	0.0000
I(right-tail)	0.242	0.129	1.872	0.0618
|log-return|*I(right-tail)	-17.557	8.173	-2.148	0.0322

Hurst exponent (of daily return price)

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