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	0.03	2.99

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.192	0.188

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.789	0.097	-8.095	0.0000
|log-return|	-108.985	7.756	-14.052	0.0000
I(right-tail)	0.268	0.137	1.964	0.0501
|log-return|*I(right-tail)	-22.871	11.559	-1.979	0.0484

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	0.01	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.102	0.074

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.569	0.151	-10.412	0.0000
|log-return|	-333.719	38.857	-8.588	0.0000
I(right-tail)	0.407	0.185	2.206	0.0282
|log-return|*I(right-tail)	92.643	43.900	2.110	0.0357

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	3.03

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.994	0.044

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.093	0.379	-0.245	0.8064
|log-return|	-2431.321	341.828	-7.113	0.0000
I(right-tail)	-1.336	0.403	-3.313	0.0011
|log-return|*I(right-tail)	1861.257	347.196	5.361	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
-0.01	-0.01	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.01	2.20

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.140	0.169

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.914	0.107	-8.538	0.0000
|log-return|	-433.015	33.243	-13.026	0.0000
I(right-tail)	0.404	0.139	2.914	0.0037
|log-return|*I(right-tail)	20.962	41.952	0.500	0.6175

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
-0.05	-0.05	-0.02	-0.01	-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
Logistic	0.043	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	-1.009	0.091	-11.040	0.0000
|log-return|	-79.900	5.852	-13.654	0.0000
I(right-tail)	0.289	0.122	2.372	0.0181
|log-return|*I(right-tail)	-12.333	8.341	-1.479	0.1399

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	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.05	0.05	3.07

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.320	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	-0.870	0.087	-9.958	0.0000
|log-return|	-78.269	5.352	-14.625	0.0000
I(right-tail)	0.227	0.126	1.803	0.0720
|log-return|*I(right-tail)	-13.868	8.053	-1.722	0.0857

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	0.02	0.00

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.331	0.157

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.943	0.094	-10.059	0.0000
|log-return|	-166.499	12.045	-13.823	0.0000
I(right-tail)	0.395	0.129	3.064	0.0023
|log-return|*I(right-tail)	-37.856	17.579	-2.154	0.0318

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
-0.04	-0.03	-0.02	-0.01	0.00	0.00	0.01	0.02	0.03	0.03	1.83

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.327	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	-0.899	0.091	-9.827	0.0000
|log-return|	-120.067	8.467	-14.181	0.0000
I(right-tail)	0.358	0.129	2.773	0.0058
|log-return|*I(right-tail)	-23.557	12.437	-1.894	0.0588

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

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.349	0.227

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	0.089	-10.502	0.0000
|log-return|	-96.993	6.809	-14.244	0.0000
I(right-tail)	0.333	0.125	2.671	0.0078
|log-return|*I(right-tail)	-23.839	10.216	-2.334	0.0200

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	0.04	3.53

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.350	0.227

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	0.090	-10.525	0.0000
|log-return|	-95.649	6.769	-14.131	0.0000
I(right-tail)	0.316	0.126	2.520	0.0121
|log-return|*I(right-tail)	-21.804	10.095	-2.160	0.0313

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	0.01	0.03	0.03	2.28

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.253	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	-0.900	0.090	-9.969	0.0000
|log-return|	-125.692	8.811	-14.265	0.0000
I(right-tail)	0.358	0.130	2.762	0.0060
|log-return|*I(right-tail)	-25.981	13.133	-1.978	0.0484

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	-0.03	-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	0.289	0.206

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.793	0.095	-8.337	0.0000
|log-return|	-76.359	5.301	-14.404	0.0000
I(right-tail)	0.245	0.131	1.870	0.0620
|log-return|*I(right-tail)	-19.302	8.054	-2.397	0.0169

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

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.401	0.244

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	0.094	-9.970	0.0000
|log-return|	-100.227	7.259	-13.808	0.0000
I(right-tail)	0.356	0.128	2.786	0.0055
|log-return|*I(right-tail)	-25.773	10.707	-2.407	0.0164

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	0.03	0.04	2.01

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.261	0.160

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.05	0.05	0.79

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.022	0.333

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.594	0.090	-6.629	0.0000
|log-return|	-73.190	4.667	-15.683	0.0000
I(right-tail)	-0.129	0.133	-0.972	0.3317
|log-return|*I(right-tail)	-3.514	7.066	-0.497	0.6192

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
-0.05	-0.04	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.04	2.32

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	0.502	0.172

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.819	0.091	-9.045	0.0000
|log-return|	-90.727	6.235	-14.551	0.0000
I(right-tail)	0.192	0.128	1.500	0.1341
|log-return|*I(right-tail)	-21.541	9.566	-2.252	0.0248

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
0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.01	2.08

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Cauchy	-0.511	0.047

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.980	0.187	-5.234	0.0000
|log-return|	-979.898	103.474	-9.470	0.0000
I(right-tail)	0.078	0.217	0.357	0.7216
|log-return|*I(right-tail)	496.078	110.255	4.499	0.0000

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	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.01	0.26

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Skew Normal	0.127	0.273

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.765	0.105	-7.266	0.0000
|log-return|	-400.176	29.693	-13.477	0.0000
I(right-tail)	0.151	0.146	1.038	0.3000
|log-return|*I(right-tail)	44.618	38.445	1.161	0.2464

Hurst exponent (of daily return price)

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