Table 21 Selection of the best parametric model as a function of s and M for the measure \(T_c^{s}\) computed on Tesla real data
From: Drawdown-based risk indicators for high-frequency financial volumes
Model selection for \(T_c^{s}\)-TESLA | ||||||||
|---|---|---|---|---|---|---|---|---|
Lognormal | Exponential | Weibull | Gamma | |||||
\(M \mid s=0\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
\(30\%\) | 110.75732 | 116.4299 | 299.6115 | 302.4478 | 239.4154 | 245.0880 | 175.9924 | 181.6650 |
\(40\%\) | 140.6871 | 146.3595 | 309.4309 | 312.2672 | 254.3569 | 260.0294 | 200.2211 | 205.8926 |
\(80\%\) | 168.6363 | 174.3090 | 320.4233 | 323.2596 | 274.7377 | 280.4103 | 227.1266 | 232.7991 |
\(M \mid s=5\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 537.2757 | 542.9483 | 571.9717 | 574.8080 | 567.9691 | 573.6417 | 561.2803 | 566.9529 |
\(40\%\) | 667.2019 | 672.8744 | 695.6664 | 698.5027 | 697.5667 | 703.2393 | 697.0157 | 702.6882 |
\(80\%\) | 739.0992 | 744.7717 | 753.6258 | 756.4621 | 755.4354 | 761.1079 | 754.4520 | 760.1245 |
\(M \mid s=50\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 296.8324 | 302.5049 | 395.5940 | 398.4302 | 354.4324 | 360.1050 | 327.5050 | 333.1736 |
\(40\%\) | 398.1545 | 403.8270 | 466.6605 | 469.4967 | 457.7519 | 463.4244 | 439.7508 | 445.4234 |
\(80\%\) | 490.9344 | 496.6069 | 544.4752 | 547.3115 | 544.8708 | 550.5434 | 536.4257 | 542.0982 |
\(M \mid s=100\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 156.3761 | 162.0486 | 321.9552 | 324.7915 | 229.0281 | 234.7007 | 187.0436 | 192.7161 |
\(40\%\) | 246.7348 | 252.4074 | 366.6243 | 369.4606 | 292.5898 | 298.2623 | 267.9816 | 273.6541 |
\(80\%\) | 348.9166 | 354.5892 | 428.6731 | 431.5094 | 397.4486 | 403.1212 | 376.5227 | 382.2003 |