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	0.60

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.262	0.104

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	0.043	-19.485	0.0000
|log-return|	-95.176	2.941	-32.358	0.0000
I(right-tail)	0.153	0.059	2.610	0.0091
|log-return|*I(right-tail)	-7.173	4.190	-1.712	0.0870

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.707	0.678	0.922	0.847

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.01	-0.01	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.02	0.52

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.036	0.052

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.539	0.073	-21.190	0.0000
|log-return|	-293.353	14.628	-20.055	0.0000
I(right-tail)	0.281	0.092	3.069	0.0022
|log-return|*I(right-tail)	60.219	17.342	3.472	0.0005

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.851	0.949	0.706	0.847

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.76

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.104	0.069

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	0.076	-12.830	0.0000
|log-return|	-925.221	40.807	-22.673	0.0000
I(right-tail)	0.079	0.099	0.804	0.4215
|log-return|*I(right-tail)	229.292	48.763	4.702	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
NaN	0.889	0.754	0.834

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.02	-0.01	-0.01	0.00	0.00	0.00	0.00	0.01	0.01	0.02	0.68

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.488	0.070

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.989	0.044	-22.553	0.0000
|log-return|	-283.896	9.354	-30.351	0.0000
I(right-tail)	0.160	0.058	2.789	0.0053
|log-return|*I(right-tail)	36.059	11.987	3.008	0.0027

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.550	0.853	0.954	0.754

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.09	-0.08	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.08	0.10	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.214	0.107

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.087	0.038	-28.838	0.0000
|log-return|	-48.563	1.530	-31.745	0.0000
I(right-tail)	0.187	0.051	3.665	0.0003
|log-return|*I(right-tail)	-4.368	2.166	-2.017	0.0438

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.710	0.876	0.836	0.724

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	0.05	0.06	0.73

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.280	0.180

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.880	0.041	-21.356	0.0000
|log-return|	-78.007	2.389	-32.647	0.0000
I(right-tail)	0.243	0.056	4.308	0.0000
|log-return|*I(right-tail)	-14.118	3.499	-4.035	0.0001

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.475	0.283	0.625	0.704

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	0.00	0.01	0.02	0.03	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.056	0.125

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.031	0.041	-25.138	0.0000
|log-return|	-146.636	4.704	-31.176	0.0000
I(right-tail)	0.316	0.055	5.749	0.0000
|log-return|*I(right-tail)	-25.473	6.748	-3.775	0.0002

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.432	0.688	0.893	0.690

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	-0.11

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.010	0.125

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.035	0.040	-26.084	0.0000
|log-return|	-93.458	2.957	-31.601	0.0000
I(right-tail)	0.247	0.054	4.587	0.0000
|log-return|*I(right-tail)	-14.020	4.264	-3.288	0.0010

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.407	0.681	0.937	0.686

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	0.05	0.29

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	-0.992	0.040	-24.887	0.0000
|log-return|	-90.768	2.826	-32.117	0.0000
I(right-tail)	0.244	0.053	4.559	0.0000
|log-return|*I(right-tail)	-14.894	4.090	-3.641	0.0003

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.431	0.500	0.829	0.686

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	0.05	0.70

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.068	0.133

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.008	0.040	-25.213	0.0000
|log-return|	-87.724	2.753	-31.862	0.0000
I(right-tail)	0.262	0.054	4.862	0.0000
|log-return|*I(right-tail)	-16.515	4.015	-4.113	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.431	0.495	0.828	0.685

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	0.80

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.075	0.126

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.021	0.041	-24.988	0.0000
|log-return|	-105.968	3.384	-31.315	0.0000
I(right-tail)	0.264	0.056	4.736	0.0000
|log-return|*I(right-tail)	-15.840	4.900	-3.233	0.0012

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.454	0.760	0.927	0.683

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	0.06	2.02

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.043	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	-0.951	0.040	-23.933	0.0000
|log-return|	-75.659	2.323	-32.574	0.0000
I(right-tail)	0.233	0.055	4.243	0.0000
|log-return|*I(right-tail)	-14.205	3.451	-4.116	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.480	0.359	0.271	0.682

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	0.51

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.067	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	-1.035	0.040	-25.954	0.0000
|log-return|	-89.616	2.835	-31.613	0.0000
I(right-tail)	0.269	0.054	5.005	0.0000
|log-return|*I(right-tail)	-17.352	4.138	-4.193	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.471	0.554	0.816	0.682

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	0.65

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.249	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
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.06	1.03

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.293	0.107

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.894	0.041	-21.973	0.0000
|log-return|	-58.960	1.802	-32.724	0.0000
I(right-tail)	0.294	0.057	5.113	0.0000
|log-return|*I(right-tail)	-16.071	2.783	-5.774	0.0000

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.645	0.832	0.939	0.613

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	0.05	0.06	0.33

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.052	0.133

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.009	0.040	-24.940	0.0000
|log-return|	-71.993	2.269	-31.724	0.0000
I(right-tail)	0.273	0.054	5.031	0.0000
|log-return|*I(right-tail)	-12.869	3.299	-3.901	0.0001

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.516	0.547	0.591	0.609

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.01	-0.01	0.00	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.21

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.166	0.092

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.187	0.057	-21.006	0.0000
|log-return|	-479.130	18.905	-25.344	0.0000
I(right-tail)	0.182	0.075	2.433	0.0151
|log-return|*I(right-tail)	82.799	23.383	3.541	0.0004

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.769	0.715	0.325	0.505

Percentile values of daily loss(gain) in per cent

0.5	1	5	10	25	50	75	90	95	99	99.5
-0.01	-0.01	-0.01	0.00	0.00	0.00	0.00	0.01	0.01	0.01	0.32

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Skew Normal	-0.283	0.223

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.667	0.050	-13.291	0.0000
|log-return|	-361.460	11.529	-31.353	0.0000
I(right-tail)	0.161	0.069	2.335	0.0197
|log-return|*I(right-tail)	7.462	15.684	0.476	0.6343

Hurst exponent (of daily return price)

12-day	24-day	48-day	96-day
0.293	0.591	0.508	0.435