Table 28 Selection of the best parametric model as a function of s, M and \(M'\) for the measure \(R_t^{s}\) computed on Netflix real data
From: Drawdown-based risk indicators for high-frequency financial volumes
Model selection for \(R_t^{s}\)-NETFLIX | ||||||||
|---|---|---|---|---|---|---|---|---|
M=80% | Lognormal | Exponential | Weibull | Gamma | ||||
\(M' \mid s=0\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
\(30\%\) | 1.0361e+03 | 1.0418e+03 | 1.3764e+03 | 1.3792e+03 | 1.0778e+03 | 1.0834e+03 | 1.2958e+03 | 1.3015e+03 |
\(40\%\) | 1.0380e+03 | 1.0437e+03 | 1.3744e+03 | 1.3772e+03 | 1.0802e+03 | 1.0959e+03 | 1.2843e+03 | 1.2900e+03 |
\(50\%\) | 1.0323e+03 | 1.0380e+03 | 1.3702e+03 | 1.3730e+03 | 1.0753e+03 | 1.0809e+03 | 1.2800e+03 | 1.2856e+03 |
\(M' \mid s=5\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 1.0783e+03 | 1.0839e+03 | 1.2926e+03 | 1.2955e+03 | 1.1236e+03 | 1.1293e+03 | 1.1915e+03 | 1.1972e+03 |
\(40\%\) | 989.0394 | 994.7120 | 1.2154e+03 | 1.2183e+03 | 1.0407e+03 | 1.0463e+03 | 1.1026e+03 | 1.1083e+03 |
\(50\%\) | 868.0608 | 873.7333 | 1.1150e+03 | 1.1178e+03 | 933.0974 | 938.7699 | 993.1070 | 998.7796 |
\(M' \mid s=50\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 1.0509e+03 | 1.0566e+03 | 1.2530e+03 | 1.2558e+03 | 1.1014e+03 | 1.1071e+03 | 1.0576+03 | 1.0633e+03 |
\(40\%\) | 967.5316 | 973.2041 | 1.2033e+03 | 1.2061e+03 | 1.0295e+03 | 1.0351e+03 | 1.1093e+03 | 1.1150e+03 |
\(50\%\) | 905.9353 | 911.6079 | 1.1770e+03 | 1.1799e+03 | 971.1089 | 976.7815 | 1.1713e+03 | 1.1770e+03 |
\(M' \mid s=100\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 960.0611 | 965.7337 | 1.2244e+03 | 1.2272e+03 | 1.0199e+03 | 1.0255e+03 | 1.1135e+03 | 1.1191e+03 |
\(40\%\) | 921.6886 | 927.3612 | 1.1855e+03 | 1.1883e+03 | 982.9280 | 988.6005 | 1.0662e+03 | 1.0719e+03 |
\(50\%\) | 849.4650 | 855.1376 | 1.1589e+03 | 1.1618e+03 | 917.0612 | 922.7337 | 1.0087e+03 | 1.0143e+03 |