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	0.06	1.06

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.093	0.212

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	0.089	-10.252	0.0000
|log-return|	-66.780	4.662	-14.325	0.0000
I(right-tail)	0.188	0.122	1.541	0.1240
|log-return|*I(right-tail)	-8.413	6.706	-1.254	0.2103

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
-0.04	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.04	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.349	0.257

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.910	0.093	-9.787	0.0000
|log-return|	-97.767	6.956	-14.055	0.0000
I(right-tail)	0.313	0.126	2.480	0.0135
|log-return|*I(right-tail)	-18.135	10.021	-1.810	0.0710

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
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	2.03

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.298	0.163

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.874	0.095	-9.172	0.0000
|log-return|	-88.125	6.306	-13.975	0.0000
I(right-tail)	0.306	0.133	2.297	0.0221
|log-return|*I(right-tail)	-18.237	9.321	-1.957	0.0510

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
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.04	3.06

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.214	0.204

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.956	0.091	-10.481	0.0000
|log-return|	-86.197	6.208	-13.885	0.0000
I(right-tail)	0.285	0.123	2.309	0.0213
|log-return|*I(right-tail)	-14.851	8.915	-1.666	0.0964

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	-0.02	-0.01	0.00	0.01	0.02	0.04	0.04	2.01

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.150	0.204

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.862	0.098	-8.797	0.0000
|log-return|	-90.380	6.508	-13.887	0.0000
I(right-tail)	0.142	0.135	1.054	0.2924
|log-return|*I(right-tail)	-4.023	9.148	-0.440	0.6603

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
-0.05	-0.05	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.06	2.07

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.225	0.119

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	0.094	-10.404	0.0000
|log-return|	-78.059	5.765	-13.539	0.0000
I(right-tail)	0.297	0.126	2.357	0.0188
|log-return|*I(right-tail)	-12.142	8.154	-1.489	0.1371

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	0.03	0.04	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.263	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	-0.942	0.093	-10.095	0.0000
|log-return|	-130.468	9.396	-13.886	0.0000
I(right-tail)	0.374	0.126	2.959	0.0032
|log-return|*I(right-tail)	-23.289	13.439	-1.733	0.0837

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	0.03	0.04	2.11

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.337	0.229

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.950	0.090	-10.553	0.0000
|log-return|	-95.378	6.770	-14.088	0.0000
I(right-tail)	0.336	0.126	2.671	0.0078
|log-return|*I(right-tail)	-22.869	10.123	-2.259	0.0243

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	-0.01	-0.01	0.00	0.01	0.02	0.04	0.04	3.37

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.316	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	-0.882	0.092	-9.586	0.0000
|log-return|	-95.039	6.697	-14.190	0.0000
I(right-tail)	0.254	0.129	1.970	0.0494
|log-return|*I(right-tail)	-15.710	9.812	-1.601	0.1100

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	0.37

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.129	0.225

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.817	0.094	-8.719	0.0000
|log-return|	-91.905	6.437	-14.278	0.0000
I(right-tail)	0.132	0.127	1.045	0.2967
|log-return|*I(right-tail)	3.512	8.599	0.408	0.6832

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	-0.01	0.00	0.01	0.02	0.03	0.05	2.23

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.253	0.247

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.886	0.090	-9.893	0.0000
|log-return|	-87.104	6.045	-14.409	0.0000
I(right-tail)	0.272	0.128	2.118	0.0347
|log-return|*I(right-tail)	-19.317	9.189	-2.102	0.0361

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
-0.05	-0.03	-0.02	-0.01	0.00	0.00	0.01	0.02	0.03	0.04	1.44

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.223	0.164

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.873	0.093	-9.430	0.0000
|log-return|	-107.225	7.536	-14.228	0.0000
I(right-tail)	0.298	0.128	2.319	0.0208
|log-return|*I(right-tail)	-21.567	11.097	-1.944	0.0525

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.05	0.05	1.90

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.363	0.147

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.919	0.089	-10.329	0.0000
|log-return|	-68.954	4.830	-14.276	0.0000
I(right-tail)	0.246	0.125	1.974	0.0490
|log-return|*I(right-tail)	-14.574	7.241	-2.013	0.0447

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	-0.02	-0.01	0.00	0.01	0.02	0.04	0.04	4.83

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.372	0.131

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.746	0.094	-7.897	0.0000
|log-return|	-100.419	6.868	-14.622	0.0000
I(right-tail)	-0.016	0.127	-0.128	0.8978
|log-return|*I(right-tail)	9.729	9.144	1.064	0.2878

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
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	2.19

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.178	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	-0.646	0.092	-6.994	0.0000
|log-return|	-98.671	6.506	-15.166	0.0000
I(right-tail)	-0.049	0.131	-0.375	0.7077
|log-return|*I(right-tail)	9.779	8.839	1.106	0.2691

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
-0.05	-0.03	-0.02	-0.01	-0.01	0.00	0.01	0.01	0.03	0.03	1.37

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Skew Normal	-0.716	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	-0.898	0.102	-8.817	0.0000
|log-return|	-116.374	8.742	-13.313	0.0000
I(right-tail)	-0.196	0.126	-1.561	0.1191
|log-return|*I(right-tail)	54.908	10.087	5.443	0.0000

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	-0.02	-0.01	0.00	0.01	0.02	0.04	0.04	3.60

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.243	0.267

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	0.091	-9.411	0.0000
|log-return|	-90.748	6.300	-14.405	0.0000
I(right-tail)	0.241	0.128	1.880	0.0607
|log-return|*I(right-tail)	-15.724	9.308	-1.689	0.0918

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
-0.05	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.03	0.05	3.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.315	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	-0.872	0.092	-9.496	0.0000
|log-return|	-90.609	6.396	-14.168	0.0000
I(right-tail)	0.280	0.128	2.184	0.0294
|log-return|*I(right-tail)	-19.618	9.510	-2.063	0.0396

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	1.22

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.383	0.302

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	0.088	-8.878	0.0000
|log-return|	-78.023	5.206	-14.986	0.0000
I(right-tail)	0.210	0.131	1.604	0.1093
|log-return|*I(right-tail)	-18.266	8.204	-2.227	0.0264

Hurst exponent (of daily return price)

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