Table 14 Song test results for the risk measure \(T_c^{s}\) computed on Apple 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
\(T_c^{s}\) - APPLE | ||||
|---|---|---|---|---|
\(M=30\%\) | \(\alpha =0.10\) | \(\alpha =0.05\) | \(\alpha =0.01\) | \(Z_0\) |
\(s=3\) vs \(s=5\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Accept \(H_{0}\) | 1.8749 |
\(s=3\) vs \(s=50\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 3.5555 |
\(s=3\) vs \(s=100\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 3.0716 |
\(M=40\%\) | \(\alpha =0.10\) | \(\alpha =0.05\) | \(\alpha =0.01\) | \(Z_0\) |
|---|---|---|---|---|
\(s=3\) vs \(s=5\) | Reject \(H_{0}\) | Accept \(H_{0}\) | Accept \(H_{0}\) | 1.3535 |
\(s=3\) vs \(s=50\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 3.1472 |
\(s=3\) vs \(s=100\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 3.8527 |
\(M=80\%\) | \(\alpha =0.10\) | \(\alpha =0.05\) | \(\alpha =0.01\) | \(Z_0\) |
|---|---|---|---|---|
\(s=3\) vs \(s=5\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 4.4914 |
\(s=3\) vs \(s=50\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 5.9966 |
\(s=3\) vs \(s=100\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 6.6413 |