Table 15 Song test results for the risk measure \(R_t^{s}\) computed on Tesla real data, fixing \(M=80\%\) and considering \(M'=30\%\), \(M'=40\%\), \(M'=50\%\). \(Z_0\) is the statistic test value under the null hypothesis
From: Drawdown-based risk indicators for high-frequency financial volumes
\(R_t^{s}\) - TESLA | ||||
|---|---|---|---|---|
\(M=80\%-M'=30\%\) | \(\alpha =0.10\) | \(\alpha =0.05\) | \(\alpha =0.01\) | \(Z_0\) |
\(s=3\) vs \(s=5\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 3.3237 |
\(s=3\) vs \(s=50\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 3.5664 |
\(s=3\) vs \(s=100\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 3.7879 |
\(M=80\%-M'=40\%\) | \(\alpha =0.10\) | \(\alpha =0.05\) | \(\alpha =0.01\) | \(Z_0\) |
|---|---|---|---|---|
\(s=3\) vs \(s=5\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 2.6889 |
\(s=3\) vs \(s=50\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 3.0386 |
\(s=3\) vs \(s=100\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 3.1136 |
\(M=80\%-M'=50\%\) | \(\alpha =0.10\) | \(\alpha =0.05\) | \(\alpha =0.01\) | \(Z_0\) |
|---|---|---|---|---|
\(s=3\) vs \(s=5\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 2.7205 |
\(s=3\) vs \(s=50\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 5.0314 |
\(s=3\) vs \(s=100\) | Reject \(H_{0}\) | Reject \(H_{0}\) | Reject \(H_{0}\) | 4.9808 |