Table 26 Selection of the best parametric model as a function of s and M for the measure \(T_c^{s}\) computed on Apple simulated data
From: Drawdown-based risk indicators for high-frequency financial volumes
Model selection for \(T_c^{s}\)-simulated data for Apple | ||||||||
|---|---|---|---|---|---|---|---|---|
Lognormal | Exponential | Weibull | Gamma | |||||
\(M \mid s=0\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
\(30\%\) | 386.5363 | 392.2088 | 450.6833 | 453.5196 | 434.6305 | 440.3031 | 419.5173 | 425.1898 |
\(40\%\) | 415.2923 | 420.9649 | 473.4487 | 476.2850 | 449.3003 | 454.9729 | 436.1147 | 441.7873 |
\(80\%\) | 526.7210 | 532.3935 | 564.5002 | 567.3365 | 562.0952 | 567.7678 | 555.0535 | 560.7261 |
\(M \mid s=5\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 323.6672 | 329.3398 | 411.0725 | 413.9088 | 376.8005 | 382.4781 | 354.3558 | 360.0284 |
\(40\%\) | 498.5114 | 504.1840 | 551.9424 | 554.7787 | 553.6295 | 559.3021 | 547.8367 | 553.5093 |
\(80\%\) | 571.3338 | 577.0064 | 604.8417 | 607.6780 | 603.8852 | 609.5577 | 598.2251 | 603.8976 |
\(M \mid s=50\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 296.4357 | 2302.1083 | 392.2497 | 394.9860 | 340.7143 | 346.3868 | 320.0435 | 325.7161 |
\(40\%\) | 434.3274 | 440.0000 | 488.0851 | 490.9214 | 482.0709 | 487.7435 | 470.4413 | 476.1139 |
\(80\%\) | 496.8472 | 502.5198 | 543.8429 | 546.6791 | 545.2509 | 550.9234 | 540.0761 | 545.7487 |
\(M \mid s=100\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 321.8317 | 327.5043 | 404.5549 | 407.3912 | 371.8132 | 377.4858 | 352.2819 | 357.9545 |
\(40\%\) | 395.5809 | 401.2534 | 458.7985 | 461.6347 | 445.0042 | 450.6768 | 429.8998 | 435.5724 |
\(80\%\) | 450.1114 | 455.7839 | 501.9179 | 504.7541 | 502.3582 | 508.0308 | 495.7474 | 501.4200 |