Table 12 Song test results for the risk measure \(T_c^{s}\) computed on Tesla real data, considering \(M=30\%\), \(M=40\%\), \(M=80\%\). \(Z_0\) is the statistic test value under the null hypothesis
From: Drawdown-based risk indicators for high-frequency financial volumes
\(T_c^{s}\) - TESLA | ||||
|---|---|---|---|---|
\(M=30\%\) | \(\alpha =0.10\) | \(\alpha =0.05\) | \(\alpha =0.01\) | \(Z_0\) |
\(s=3\) vs \(s=5\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 2.5728 |
\(s=3\) vs \(s=50\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 4.4457 |
\(s=3\) vs \(s=100\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 5.1748 |
\(M=40\%\) | \(\alpha =0.10\) | \(\alpha =0.05\) | \(\alpha =0.01\) | \(Z_0\) |
|---|---|---|---|---|
\(s=3\) vs \(s=5\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 4.3123 |
\(s=3\) vs \(s=50\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 4.4484 |
\(s=3\) vs \(s=100\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 5.4716 |
\(M=80\%\) | \(\alpha =0.10\) | \(\alpha =0.05\) | \(\alpha =0.01\) | \(Z_0\) |
|---|---|---|---|---|
\(s=3\) vs \(s=5\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 3.4264 |
\(s=3\) vs \(s=50\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 5.5782 |
\(s=3\) vs \(s=100\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 6.0178 |