Table 23 Selection of the best parametric model as a function of s and M for the measure \(T_c^{s}\) computed on Apple real data
From: Drawdown-based risk indicators for high-frequency financial volumes
Model selection for \(T_c^{s}\)-APPLE | ||||||||
|---|---|---|---|---|---|---|---|---|
Lognormal | Exponential | Weibull | Gamma | |||||
\(M \mid s=0\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
\(30\%\) | -112.2244 | -106.5518 | 265.7230 | 268.5593 | 17.0933 | 22.7658 | -84.5238 | -78.8513 |
\(40\%\) | 8.0156 | 13.6881 | 278.7444 | 281.5807 | 190.5006 | 196.1732 | 82.5840 | 88.2566 |
\(80\%\) | 81.9986 | 87.6712 | 294.5545 | 297.3907 | 237.1486 | 242.8212 | 159.5677 | 165.2403 |
\(M \mid s=5\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 406.3261 | 411.9987 | 468.3747 | 471.2110 | 453.495 | 459.1683 | 438.1868 | 443.8593 |
\(40\%\) | 504.0726 | 509.7451 | 540.7451 | 543.4933 | 533.7475 | 539.4201 | 526.7935 | 532.4661 |
\(80\%\) | 583.2903 | 588.9629 | 604.8417 | 607.6780 | 602.66411 | 608.3367 | 599.3333 | 605.0058 |
\(M \mid s=50\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 238.4327 | 244.1052 | 362.7572 | 365.5935 | 294.2205 | 299.8931 | 263.9826 | 269.6551 |
\(40\%\) | 374.5056 | 380.1782 | 446.9909 | 449.8272 | 433.2030 | 438.8755 | 414.3182 | 419.9907 |
\(80\%\) | 498.2699 | 503.9424 | 543.2089 | 546.0452 | 539.6829 | 545.3555 | 530.8939 | 536.5664 |
\(M \mid s=100\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 272.0607 | 277.7332 | 377.8818 | 380.7180 | 318.0543 | 323.7269 | 295.4658 | 301.1384 |
\(40\%\) | 353.3743 | 359.0469 | 428.6731 | 431.5094 | 393.5341 | 399.2040 | 376.7863 | 382.4589 |
\(80\%\) | 441.8475 | 447.5200 | 494.3269 | 497.1632 | 483.6473 | 489.3199 | 471.9262 | 477.5988 |