Table 25 Selection of the best parametric model as a function of s and M for the measure \(T_c^{s}\) computed on Netflix simulated data
From: Drawdown-based risk indicators for high-frequency financial volumes
Model selection for \(T_c^{s}\)-simulated data for Netflix | ||||||||
|---|---|---|---|---|---|---|---|---|
Lognormal | Exponential | Weibull | Gamma | |||||
\(M \mid s=0\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
\(30\%\) | 367.2830 | 372.9556 | 441.3489 | 444.1852 | 436.8949 | 442.5675 | 421.2143 | 426.8869 |
\(40\%\) | 401.8642 | 407.5368 | 469.2275 | 472.0638 | 465.7872 | 471.4598 | 452.2342 | 457.9068 |
\(80\%\) | 509.6764 | 515.3490 | 550.7132 | 553.5495 | 550.9566 | 556.6292 | 545.5268 | 551.1994 |
\(M \mid s=5\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 350.0144 | 355.6870 | 429.6711 | 432.5074 | 421.6078 | 427.2804 | 402.4658 | 408.1383 |
\(40\%\) | 395.3602 | 401.0327 | 461.4465 | 464.2828 | 455.0238 | 460.6963 | 440.4615 | 446.1340 |
\(80\%\) | 496.7831 | 502.4557 | 538.7259 | 541.5622 | 538.8420 | 544.5146 | 532.8590 | 538.5315 |
\(M \mid s=50\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 280.9422 | 286.6148 | 381.5252 | 384.3615 | 359.7485 | 365.4211 | 331.6124 | 337.2850 |
\(40\%\) | 314.8692 | 320.5418 | 401.2318 | 404.0681 | 382.8714 | 388.5440 | 360.3018 | 365.9744 |
\(80\%\) | 363.5170 | 369.1895 | 434.6028 | 437.4391 | 426.7378 | 432.4104 | 410.6921 | 416.3647 |
\(M \mid s=100\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 254.6788 | 260.3514 | 367.9003 | 370.7365 | 345.4716 | 351.1441 | 311.1198 | 316.7924 |
\(40\%\) | 301.1360 | 306.8085 | 393.3030 | 396.1393 | 378.2003 | 383.8729 | 353.7495 | 359.4221 |
\(80\%\) | 342.3438 | 348.0164 | 419.5084 | 422.3447 | 404.1885 | 409.8611 | 384.4979 | 390.1704 |