Table 36 Parameters of the best models for \(R_t^{s}\) computed on real and simulated data for Tesla
From: Drawdown-based risk indicators for high-frequency financial volumes
Summary of the best statistical model selection | ||||
|---|---|---|---|---|
for \(R_t^{s}\)-TESLA fixing \(M=80\%\) | ||||
\(s=0\) | \(M'\) | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
30% | Lognormal | 2.4518–2.1359 | 3.8690–2.6808 | |
40% | Lognormal | 2.3364–2.0065 | 2.8326–1.9657 | |
50% | Lognormal | 2.2232–1.8870 | 2.3551–1.7134 | |
\(s=5\) | \(M'\) | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
|---|---|---|---|---|
30% | Lognormal | 1.8449–1.4644 | 3.1969–2.1557 | |
40% | Lognormal | 1.3389–1.2555 | 2.4572–1.5758 | |
50% | Lognormal | 0.9199–0.8682 | 2.0759–1.3965 |
\(s=50\) | \(M'\) | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
|---|---|---|---|---|
30% | Lognormal | 2.2509–1.4937 | 2.6348–1.7452 | |
40% | Lognormal | 1.7833–1.1883 | 2.2369–1.5401 | |
50% | Lognormal | 1.4324–1.1423 | 1.7545–1.3654 |
\(s=100\) | \(M'\) | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
|---|---|---|---|---|
30% | Lognormal | 2.1978–1.5592 | 2.2634–1.3890 | |
40% | Lognormal | 1.7927–1.4021 | 2.0196–1.3255 | |
50% | Lognormal | 1.5762–1.3999 | 1.7640–1.2639 |