Table 27 Selection of the best parametric model as a function of s, M and \(M'\) for the measure \(R_t^{s}\) computed on Tesla real data
From: Drawdown-based risk indicators for high-frequency financial volumes
Model selection for \(R_t^{s}\)-TESLA | ||||||||
|---|---|---|---|---|---|---|---|---|
M=80% | Lognormal | Exponential | Weibull | Gamma | ||||
\(M' \mid s=0\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
\(30\%\) | 968.4571 | 974.1297 | 1.3255e+03 | 1.3283e+03 | 1.0257e+03 | 1.0314e+03 | 1.2265e+03 | 1.2321e+03 |
\(40\%\) | 961.4206 | 967.0932 | 1.3066e+03 | 1.3094e+03 | 1.0210e+03 | 1.0266e+03 | 1.1957e+03 | 1.2013e+03 |
\(50\%\) | 953.4446 | 959.1172 | 1.2808e+03 | 1.2837e+03 | 1.0141e+03 | 1.0198e+03 | 1.1629e+03 | 1.1686e+03 |
\(M' \mid s=5\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 908.0326 | 913.7051 | 1.1049e+03 | 1.1077e+03 | 966.0127 | 971.6852 | 1.0193e+03 | 1.0250e+03 |
\(40\%\) | 755.3122 | 760.9848 | 914.8652 | 917.7014 | 821.3134 | 826.9860 | 860.7029 | 866.3754 |
\(50\%\) | 556.7761 | 562.4487 | 597.7853 | 600.6216 | 599.6405 | 605.3131 | 595.7123 | 601.3849 |
\(M' \mid s=50\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 1.0151e+03 | 1.0207e+03 | 1.1641e+03 | 1.1670e+03 | 1.0616e+03 | 1.0673e+03 | 1.1029e+03 | 1.1086e+03 |
\(40\%\) | 853.4507 | 859.1232 | 937.7585 | 940.5948 | 901.5702 | 907.2427 | 922.1287 | 927.8013 |
\(50\%\) | 755.0705 | 760.7431 | 850.5152 | 853.3514 | 810.9556 | 816.6281 | 834.4726 | 840.1451 |
\(M' \mid s=100\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 1.0123e+03 | 1.0180e+03 | 1.1566e+03 | 1.1595e+03 | 1.0532e+03 | 1.0589e+03 | 1.0922e+03 | 1.0978e+03 |
\(40\%\) | 884.1675 | 889.8401 | 1.0507e+03 | 1.0536e+03 | 938.8802 | 944.5527 | 988.0512 | 993.7237 |
\(50\%\) | 829.3097 | 834.9822 | 1.0277e+03 | 1.0265e+03 | 889.5327 | 895.2053 | 945.6704 | 951.3430 |