Table 24 Selection of the best parametric model as a function of s and M for the measure \(T_c^{s}\) computed on Tesla simulated data
From: Drawdown-based risk indicators for high-frequency financial volumes
Model selection for \(T_c^{s}\)-simulated data for Tesla | ||||||||
|---|---|---|---|---|---|---|---|---|
Lognormal | Exponential | Weibull | Gamma | |||||
\(M \mid s=0\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
\(30\%\) | 416.0895 | 421.7621 | 474.2846 | 477.120 | 465.6829 | 471.3555 | 452.4793 | 458.1518 |
\(40\%\) | 484.7729 | 490.4455 | 534.1618 | 536.9981 | 535.0857 | 540.7582 | 528.5053 | 534.1779 |
\(80\%\) | 582.0063 | 587.6789 | 625.3534 | 628.1926 | 626.0465 | 631.7191 | 627.2512 | 632.9237 |
\(M \mid s=5\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 439.012 | 444.7438 | 494.3269 | 497.1632 | 488.5368 | 494.1993 | 476.9298 | 482.6024 |
\(40\%\) | 511.9689 | 517.6415 | 549.4779 | 552.3142 | 548.0072 | 553.6797 | 542.2484 | 547.9209 |
\(80\%\) | 592.8549 | 598.5274 | 627.6369 | 630.4732 | 629.6316 | 635.3041 | 627.7950 | 633.4676 |
\(M \mid s=50\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 378.3470 | 384.0196 | 448.8439 | 451.6801 | 440.1081 | 445.7806 | 422.7788 | 428.4514 |
\(40\%\) | 427.1988 | 432.8713 | 479.2421 | 482.0784 | 467.4146 | 473.0871 | 456.4506 | 462.1232 |
\(80\%\) | 523.5695 | 529.2421 | 566.2442 | 569.0804 | 567.8633 | 573.5359 | 563.6686 | 569.3412 |
\(M \mid s=100\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 295.7859 | 301.4585 | 393.3030 | 396.1393 | 332.3795 | 338.0521 | 314.4786 | 320.1512 |
\(40\%\) | 339.8604 | 345.5330 | 417.4258 | 420.2621 | 385.4940 | 391.1666 | 367.3338 | 373.0064 |
\(80\%\) | 428.0316 | 433.7042 | 482.4938 | 485.3300 | 470.4306 | 476.1032 | 457.6903 | 463.3629 |