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	0.88

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.265	0.105

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.885	0.058	-15.161	0.0000
|log-return|	-79.328	3.469	-22.871	0.0000
I(right-tail)	0.065	0.079	0.819	0.4128
|log-return|*I(right-tail)	-3.629	4.919	-0.738	0.4607

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
-0.02	-0.01	-0.01	0.00	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
Laplace	0.047	0.067

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.487	0.088	-16.858	0.0000
|log-return|	-238.060	15.283	-15.577	0.0000
I(right-tail)	0.395	0.110	3.575	0.0004
|log-return|*I(right-tail)	34.221	18.375	1.862	0.0630

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
-0.01	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.84

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Cauchy	0.105	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	-1.206	0.094	-12.817	0.0000
|log-return|	-761.247	47.985	-15.864	0.0000
I(right-tail)	0.259	0.123	2.111	0.0351
|log-return|*I(right-tail)	135.881	58.112	2.338	0.0196

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	-0.02	-0.01	0.00	0.00	0.00	0.00	0.01	0.02	0.02	0.90

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.484	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	-1.053	0.059	-17.720	0.0000
|log-return|	-226.901	10.591	-21.423	0.0000
I(right-tail)	0.183	0.077	2.359	0.0185
|log-return|*I(right-tail)	28.107	13.511	2.080	0.0377

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
-0.11	-0.09	-0.05	-0.03	-0.01	0.00	0.01	0.05	0.10	0.13	0.35

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.219	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	-1.024	0.054	-19.039	0.0000
|log-return|	-38.401	1.680	-22.860	0.0000
I(right-tail)	0.140	0.072	1.933	0.0534
|log-return|*I(right-tail)	-3.146	2.373	-1.325	0.1853

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
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	0.93

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.279	0.217

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.863	0.057	-15.089	0.0000
|log-return|	-62.725	2.687	-23.343	0.0000
I(right-tail)	0.212	0.079	2.677	0.0075
|log-return|*I(right-tail)	-11.500	3.984	-2.887	0.0040

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

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.051	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	-0.997	0.057	-17.458	0.0000
|log-return|	-117.531	5.248	-22.394	0.0000
I(right-tail)	0.265	0.077	3.459	0.0006
|log-return|*I(right-tail)	-19.380	7.555	-2.565	0.0104

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

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.014	0.152

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.002	0.056	-18.002	0.0000
|log-return|	-74.672	3.297	-22.646	0.0000
I(right-tail)	0.215	0.075	2.848	0.0045
|log-return|*I(right-tail)	-11.143	4.775	-2.333	0.0198

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
-0.06	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.05	0.06	0.27

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.152	0.144

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.967	0.056	-17.157	0.0000
|log-return|	-72.491	3.174	-22.837	0.0000
I(right-tail)	0.209	0.076	2.763	0.0058
|log-return|*I(right-tail)	-11.767	4.618	-2.548	0.0110

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
-0.07	-0.05	-0.03	-0.02	-0.01	0.00	0.01	0.02	0.05	0.06	1.06

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.068	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	-0.981	0.056	-17.607	0.0000
|log-return|	-69.966	3.063	-22.843	0.0000
I(right-tail)	0.224	0.075	2.969	0.0030
|log-return|*I(right-tail)	-13.200	4.509	-2.927	0.0035

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
-0.06	-0.04	-0.02	-0.01	0.00	0.00	0.01	0.02	0.04	0.04	1.03

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.071	0.146

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.006	0.056	-17.942	0.0000
|log-return|	-84.983	3.773	-22.522	0.0000
I(right-tail)	0.215	0.076	2.825	0.0048
|log-return|*I(right-tail)	-12.223	5.491	-2.226	0.0262

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
-0.07	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	2.55

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.041	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	-0.855	0.057	-14.956	0.0000
|log-return|	-61.627	2.636	-23.379	0.0000
I(right-tail)	0.147	0.079	1.865	0.0625
|log-return|*I(right-tail)	-10.155	3.912	-2.596	0.0096

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
-0.07	-0.05	-0.02	-0.02	-0.01	0.00	0.01	0.02	0.04	0.06	0.68

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.069	0.170

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-0.972	0.057	-17.191	0.0000
|log-return|	-72.284	3.186	-22.690	0.0000
I(right-tail)	0.223	0.076	2.919	0.0036
|log-return|*I(right-tail)	-13.445	4.673	-2.877	0.0041

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
-0.05	-0.04	-0.02	-0.01	0.00	0.00	0.01	0.02	0.03	0.04	0.82

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.241	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	-0.995	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
-0.09	-0.08	-0.04	-0.03	-0.01	0.00	0.01	0.04	0.06	0.08	1.28

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	0.270	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	-0.795	0.055	-14.517	0.0000
|log-return|	-49.758	2.056	-24.196	0.0000
I(right-tail)	0.108	0.080	1.351	0.1770
|log-return|*I(right-tail)	-9.595	3.204	-2.995	0.0028

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
-0.08	-0.06	-0.03	-0.02	-0.01	0.00	0.01	0.03	0.06	0.07	0.33

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.058	0.146

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	0.054	-17.503	0.0000
|log-return|	-60.448	2.608	-23.179	0.0000
I(right-tail)	0.093	0.074	1.253	0.2104
|log-return|*I(right-tail)	-5.593	3.763	-1.486	0.1374

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	0.01	0.01	0.01	0.29

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Laplace	-0.162	0.087

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

Variable	Coef(b)	s.e.(b)	t-value	P-value
Constant	-1.441	0.078	-18.410	0.0000
|log-return|	-385.102	23.096	-16.674	0.0000
I(right-tail)	0.407	0.101	4.012	0.0001
|log-return|*I(right-tail)	37.057	28.558	1.298	0.1948

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
-0.02	-0.01	-0.01	0.00	0.00	0.00	0.00	0.01	0.01	0.01	0.42

Daily log-return distribution fitting results

Distribution	Location, a	Scale, b
Logistic	-0.364	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	-0.758	0.067	-11.357	0.0000
|log-return|	-317.833	14.362	-22.131	0.0000
I(right-tail)	0.127	0.091	1.405	0.1602
|log-return|*I(right-tail)	16.269	19.257	0.845	0.3984

Hurst exponent (of daily return price)

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