Table 30 Selection of the best parametric model as a function of s, M and \(M'\) for the measure \(R_t^{s}\) computed on Tesla simulated data
From: Drawdown-based risk indicators for high-frequency financial volumes
Model selection for \(R_t^{s}\)-simulated data for TESLA | ||||||||
|---|---|---|---|---|---|---|---|---|
M=80% | Lognormal | Exponential | Weibull | Gamma | ||||
\(M' \mid s=0\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
\(30\%\) | 1.0326e+03 | 1.0383e+03 | 1.3185e+03 | 1.3214e+03 | 1.0730e+03 | 1.0787e+03 | 1.5154e+03 | 1.5210e+03 |
\(40\%\) | 1.0634e+03 | 1.0690e+03 | 1.3352e+03 | 1.3380e+03 | 1.1154e+03 | 1.1211e+03 | 1.2925e+03 | 1.2982e+03 |
\(50\%\) | 997.1760 | 1.0028e+03 | 1.2604e+03 | 1.2632e+03 | 1.0555e+03 | 1.0611e+03 | 1.1729e+03 | 1.1786e+03 |
\(M' \mid s=5\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 1.0840e+03 | 1.0897e+03 | 1.3582e+03 | 1.3611e+03 | 1.1325e+03 | 1.1382e+03 | 1.3766e+03 | 1.3823e+03 |
\(40\%\) | 1.0345e+03 | 1.0402e+03 | 1.2439e+03 | 1.2467e+03 | 1.0905e+03 | 1.0962e+03 | 1.0703e+03 | 1.1766e+03 |
\(50\%\) | 939.9660 | 945.6386 | 1.1266e+03 | 1.1294e+03 | 999.8915 | 1.0056e+03 | 1.0646e+03 | 1.1823e+03 |
\(M' \mid s=50\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 1.0867e+03 | 1.0924+03 | 1.2871e+03 | 1.2899e+03 | 1.1375e+03 | 1.1057e+03 | 1.2239e+03 | 1.2296e+03 |
\(40\%\) | 1.0041e+03 | 1.0098e+03 | 1.1697e+03 | 1.1725e+03 | 1.0500e+03 | 1.0557e+03 | 1.1065e+03 | 1.1121e+03 |
\(50\%\) | 868.0009 | 873.6735 | 1.0243e+03 | 1.0271e+03 | 920.6579 | 926.3305 | 976.1139 | 926.4127 |
\(M' \mid s=100\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 1.0137e+03 | 1.0194e+03 | 1.0684e+03 | 1.0713e+03 | 1.0387e+03 | 1.0443e+03 | 1.0493e+03 | 1.0550e+03 |
\(40\%\) | 940.5239 | 946.1965 | 988.8454 | 991.6817 | 965.8764 | 971.5490 | 976.0319 | 981.7045 |
\(50\%\) | 864.1064 | 869.7789 | 909.7296 | 912.5659 | 891.8050 | 897.4770 | 901.3648 | 907.0373 |