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	0.58

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.082	0.141

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.977	0.038	-25.675	0.0000
|log-return|	-60.479	1.846	-32.770	0.0000
I(right-tail)	0.192	0.052	3.653	0.0003
|log-return|*I(right-tail)	-9.359	2.698	-3.468	0.0005

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.409	0.378	0.525	0.806

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	0.39

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.104	0.094

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.930	0.039	-23.837	0.0000
|log-return|	-96.388	2.925	-32.949	0.0000
I(right-tail)	0.199	0.054	3.687	0.0002
|log-return|*I(right-tail)	-11.166	4.210	-2.652	0.0080

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.470	0.421	0.713	0.785

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	0.04	0.71

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.013	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	-0.846	0.044	-19.268	0.0000
|log-return|	-97.218	3.039	-31.988	0.0000
I(right-tail)	0.260	0.060	4.305	0.0000
|log-return|*I(right-tail)	-14.978	4.411	-3.396	0.0007

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.541	0.378	0.785	0.716

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	-0.01	-0.01	0.00	0.01	0.02	0.05	0.07	0.51

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.140	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	-1.058	0.037	-28.232	0.0000
|log-return|	-65.697	2.038	-32.232	0.0000
I(right-tail)	0.164	0.051	3.234	0.0012
|log-return|*I(right-tail)	-7.977	2.942	-2.711	0.0068

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.493	0.655	0.935	0.699

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	0.22

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.033	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	-0.975	0.046	-21.314	0.0000
|log-return|	-90.849	3.018	-30.103	0.0000
I(right-tail)	0.266	0.062	4.288	0.0000
|log-return|*I(right-tail)	-16.917	4.406	-3.840	0.0001

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.453	0.340	0.675	0.688

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	0.16

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.159	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	-0.978	0.037	-26.334	0.0000
|log-return|	-60.849	1.844	-32.991	0.0000
I(right-tail)	0.066	0.052	1.279	0.2009
|log-return|*I(right-tail)	-5.965	2.689	-2.219	0.0266

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.510	0.332	0.577	0.659

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	0.01	0.02	0.03	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.248	0.084

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.961	0.040	-23.844	0.0000
|log-return|	-126.745	3.959	-32.017	0.0000
I(right-tail)	0.266	0.055	4.878	0.0000
|log-return|*I(right-tail)	-18.210	5.694	-3.198	0.0014

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.559	0.862	0.959	0.649

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	0.78

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.152	0.123

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	0.039	-26.526	0.0000
|log-return|	-86.246	2.708	-31.853	0.0000
I(right-tail)	0.248	0.053	4.674	0.0000
|log-return|*I(right-tail)	-16.158	3.972	-4.068	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.425	0.564	0.836	0.644

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	0.03	0.04	0.86

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.119	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	-0.857	0.044	-19.550	0.0000
|log-return|	-94.849	2.966	-31.980	0.0000
I(right-tail)	0.279	0.060	4.660	0.0000
|log-return|*I(right-tail)	-18.209	4.351	-4.185	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.450	0.349	0.562	0.637

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	1.05

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.198	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	-0.844	0.041	-20.801	0.0000
|log-return|	-90.237	2.712	-33.270	0.0000
I(right-tail)	0.142	0.056	2.548	0.0109
|log-return|*I(right-tail)	-2.456	3.781	-0.650	0.5161

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.539	0.432	0.563	0.637

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	0.00	0.00	0.01	0.02	0.04	0.05	0.39

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.042	0.075

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.017	0.038	-26.852	0.0000
|log-return|	-81.112	2.498	-32.465	0.0000
I(right-tail)	0.223	0.053	4.201	0.0000
|log-return|*I(right-tail)	-16.263	3.758	-4.328	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.624	0.410	0.531	0.635

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	0.63

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.146	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	-0.935	0.041	-23.050	0.0000
|log-return|	-104.857	3.233	-32.435	0.0000
I(right-tail)	0.279	0.055	5.046	0.0000
|log-return|*I(right-tail)	-20.726	4.768	-4.347	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.452	0.496	0.821	0.622

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	0.08	0.10	1.08

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.130	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	-1.040	0.036	-29.292	0.0000
|log-return|	-51.179	1.558	-32.843	0.0000
I(right-tail)	0.014	0.050	0.285	0.7755
|log-return|*I(right-tail)	0.493	2.178	0.226	0.8210

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.533	0.425	0.545	0.605

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	0.70

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.009	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	-0.891	0.040	-22.064	0.0000
|log-return|	-96.866	2.950	-32.835	0.0000
I(right-tail)	0.221	0.056	3.945	0.0001
|log-return|*I(right-tail)	-12.794	4.267	-2.999	0.0027

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.675	0.483	0.472	0.604

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	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	0.92

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.181	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	-0.760	0.042	-17.990	0.0000
|log-return|	-99.758	2.984	-33.426	0.0000
I(right-tail)	0.122	0.058	2.112	0.0348
|log-return|*I(right-tail)	-3.238	4.162	-0.778	0.4366

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.525	0.562	0.380	0.569

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	1.11

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.035	0.055

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	0.042	-23.354	0.0000
|log-return|	-100.242	3.322	-30.179	0.0000
I(right-tail)	0.010	0.056	0.171	0.8639
|log-return|*I(right-tail)	13.425	4.390	3.058	0.0023

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.631	0.859	0.943	0.556

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	0.83

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.009	0.136

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.957	0.040	-23.975	0.0000
|log-return|	-86.246	2.665	-32.366	0.0000
I(right-tail)	0.286	0.055	5.209	0.0000
|log-return|*I(right-tail)	-19.985	3.993	-5.005	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.429	0.464	0.592	0.526

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	-0.01	-0.01	0.00	0.01	0.02	0.03	0.05	0.55

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.345	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	-0.945	0.040	-23.568	0.0000
|log-return|	-86.099	2.679	-32.140	0.0000
I(right-tail)	0.321	0.056	5.730	0.0000
|log-return|*I(right-tail)	-20.374	4.030	-5.055	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.586	0.440	0.644	0.512

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	0.02	0.05	0.06	0.84

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.081	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	-0.974	0.039	-25.054	0.0000
|log-return|	-62.086	1.918	-32.375	0.0000
I(right-tail)	0.286	0.054	5.256	0.0000
|log-return|*I(right-tail)	-14.503	2.908	-4.988	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.565	0.454	0.286	0.413