Table 31 Selection of the best parametric model as a function of s, M and \(M'\) for the measure \(R_t^{s}\) computed on Netflix simulated data
From: Drawdown-based risk indicators for high-frequency financial volumes
Model selection for \(R_t^{s}\)-simulated data for NETFLIX | ||||||||
|---|---|---|---|---|---|---|---|---|
M=80% | Lognormal | Exponential | Weibull | Gamma | ||||
\(M' \mid s=0\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
\(30\%\) | 1.1309e+03 | 1.1366e+03 | 1.3318e+03 | 1.3346e+03 | 1.1715e+03 | 1.1772e+03 | 1.2732e+03 | 1.2789e+03 |
\(40\%\) | 1.0610e+03 | 1.0667e+03 | 1.2630e+03 | 1.2959e+03 | 1.1055e+03 | 1.1112e+03 | 1.1870e+03 | 1.1926e+03 |
\(50\%\) | 978.2024 | 983.8749 | 1.1597e+03 | 1.1626e+03 | 1.0236e+03 | 1.0293e+03 | 1.0825e+03 | 1.0882e+03 |
\(M' \mid s=5\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 1.0959e+03 | 1.1016e+03 | 1.3214e+03 | 1.3242e+03 | 1.1465e+03 | 1.1522e+03 | 1.2793e+03 | 1.2850e+03 |
\(40\%\) | 1.0309e+03 | 1.0366e+03 | 1.2723e+03 | 1.2751e+03 | 1.0858e+03 | 1.0915e+03 | 1.1989e+03 | 1.2046e+03 |
\(50\%\) | 1.0059e+03 | 1.0115e+03 | 1.2075e+03 | 1.2104e+03 | 1.0550e+03 | 1.0607e+03 | 1.1276e+03 | 1.1332e+03 |
\(M' \mid s=50\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 1.0231e+03 | 1.0287+03 | 1.1597e+03 | 1.1625e+03 | 1.0626e+03 | 1.0683e+03 | 1.1151e+03 | 1.1208e+03 |
\(40\%\) | 982.4874 | 988.1599 | 1.1393e+03 | 1.1421e+03 | 1.0278e+03 | 1.0334e+03 | 1.0854e+03 | 1.0911e+03 |
\(50\%\) | 943.4720 | 949.1446 | 1.0674e+03 | 1.0703e+03 | 983.4023 | 989.0749 | 1.0241e+03 | 1.0298e+03 |
\(M' \mid s=100\) | AIC | BIC | AIC | BIC | AIC | BIC | AIC | BIC |
|---|---|---|---|---|---|---|---|---|
\(30\%\) | 902.1937 | 907.8862 | 1.0443e+03 | 1.0472e+03 | 948.8200 | 954.4925 | 993.3576 | 999.0302 |
\(40\%\) | 860.9473 | 866.6199 | 1.0128e+03 | 1.0157e+03 | 913.0693 | 918.7419 | 961.4471 | 967.1197 |
\(50\%\) | 817.5565 | 823.2290 | 895.3954 | 898.2317 | 855.7938 | 861.4664 | 873.7375 | 879.4100 |