Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.11	-0.07	-0.04	-0.02	-0.01	0.00	0.01	0.04	0.08	0.09	0.68

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.084	0.171

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	0.054	-17.547	0.0000
|log-return|	-48.050	2.056	-23.375	0.0000
I(right-tail)	0.158	0.075	2.118	0.0344
|log-return|*I(right-tail)	-7.883	3.042	-2.591	0.0097

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.05	0.06	0.43

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.118	0.192

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	0.057	-15.814	0.0000
|log-return|	-76.550	3.312	-23.114	0.0000
I(right-tail)	0.194	0.077	2.515	0.0120
|log-return|*I(right-tail)	-10.350	4.765	-2.172	0.0300

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
-0.06	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	0.90

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.001	0.210

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.877	0.059	-14.943	0.0000
|log-return|	-78.990	3.444	-22.936	0.0000
I(right-tail)	0.214	0.082	2.620	0.0089
|log-return|*I(right-tail)	-12.134	5.058	-2.399	0.0166

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
-0.08	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.07	0.09	0.75

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.133	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	-0.994	0.054	-18.266	0.0000
|log-return|	-52.332	2.278	-22.972	0.0000
I(right-tail)	0.152	0.074	2.070	0.0386
|log-return|*I(right-tail)	-6.393	3.284	-1.946	0.0518

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.05	0.06	0.30

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.027	0.176

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	0.062	-15.049	0.0000
|log-return|	-73.298	3.325	-22.042	0.0000
I(right-tail)	0.203	0.084	2.413	0.0160
|log-return|*I(right-tail)	-13.223	4.908	-2.694	0.0072

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
-0.10	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.07	0.08	0.29

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.164	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	-0.966	0.054	-17.876	0.0000
|log-return|	-49.069	2.131	-23.026	0.0000
I(right-tail)	0.138	0.075	1.833	0.0671
|log-return|*I(right-tail)	-9.239	3.208	-2.880	0.0040

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

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.240	0.096

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.995	0.058	-17.308	0.0000
|log-return|	-100.017	4.485	-22.301	0.0000
I(right-tail)	0.288	0.077	3.753	0.0002
|log-return|*I(right-tail)	-17.597	6.482	-2.715	0.0067

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.04	0.06	1.30

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.149	0.155

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.985	0.056	-17.661	0.0000
|log-return|	-68.835	3.022	-22.778	0.0000
I(right-tail)	0.209	0.076	2.760	0.0059
|log-return|*I(right-tail)	-12.556	4.456	-2.818	0.0049

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	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	1.02

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.128	0.190

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	0.059	-15.413	0.0000
|log-return|	-77.950	3.432	-22.710	0.0000
I(right-tail)	0.258	0.081	3.196	0.0014
|log-return|*I(right-tail)	-16.590	5.106	-3.249	0.0012

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	1.56

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.195	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	-0.882	0.057	-15.522	0.0000
|log-return|	-74.132	3.189	-23.247	0.0000
I(right-tail)	0.135	0.077	1.756	0.0793
|log-return|*I(right-tail)	-1.739	4.421	-0.393	0.6942

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	0.65

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.047	0.099

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	-17.503	0.0000
|log-return|	-64.887	2.798	-23.188	0.0000
I(right-tail)	0.203	0.077	2.643	0.0083
|log-return|*I(right-tail)	-13.662	4.255	-3.210	0.0014

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
-0.06	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	0.76

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.148	0.171

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.918	0.056	-16.351	0.0000
|log-return|	-85.267	3.679	-23.179	0.0000
I(right-tail)	0.208	0.077	2.701	0.0070
|log-return|*I(right-tail)	-15.270	5.450	-2.802	0.0052

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
-0.11	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.10	0.14	1.41

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.129	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	-0.931	0.052	-17.896	0.0000
|log-return|	-40.860	1.725	-23.683	0.0000
I(right-tail)	0.000	0.073	-0.001	0.9989
|log-return|*I(right-tail)	0.147	2.432	0.061	0.9518

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	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.04	0.05	1.13

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.008	0.207

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	0.059	-14.066	0.0000
|log-return|	-77.540	3.335	-23.247	0.0000
I(right-tail)	0.187	0.081	2.325	0.0202
|log-return|*I(right-tail)	-10.326	4.827	-2.139	0.0326

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	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	1.63

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.184	0.135

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.772	0.058	-13.294	0.0000
|log-return|	-83.680	3.525	-23.738	0.0000
I(right-tail)	0.070	0.080	0.875	0.3817
|log-return|*I(right-tail)	-0.812	4.905	-0.166	0.8685

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	-0.04	-0.02	-0.01	-0.01	0.00	0.01	0.02	0.04	0.05	1.55

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.040	0.059

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.109	0.057	-19.374	0.0000
|log-return|	-77.416	3.767	-20.551	0.0000
I(right-tail)	0.072	0.075	0.955	0.3400
|log-return|*I(right-tail)	10.471	4.905	2.135	0.0330

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.05	0.06	1.75

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.016	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	-0.939	0.055	-16.983	0.0000
|log-return|	-70.117	3.028	-23.153	0.0000
I(right-tail)	0.203	0.077	2.651	0.0081
|log-return|*I(right-tail)	-15.856	4.602	-3.446	0.0006

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
-0.07	-0.06	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.05	0.76

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.341	0.113

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.923	0.056	-16.400	0.0000
|log-return|	-70.803	3.096	-22.867	0.0000
I(right-tail)	0.268	0.079	3.410	0.0007
|log-return|*I(right-tail)	-15.666	4.674	-3.352	0.0008

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
-0.09	-0.07	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.08	1.19

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.068	0.150

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.938	0.053	-17.834	0.0000
|log-return|	-50.170	2.130	-23.559	0.0000
I(right-tail)	0.144	0.075	1.915	0.0558
|log-return|*I(right-tail)	-9.265	3.252	-2.849	0.0045

Hurst exponent (of daily return price)

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