Table 38 Parameters of the best models for \(R_t^{s}\) computed on real and simulated data for Apple
From: Drawdown-based risk indicators for high-frequency financial volumes
Summary of the best statistical model selection | ||||
|---|---|---|---|---|
for \(R_t^{s}\)-APPLE fixing \(M=80\%\) | ||||
\(s=0\) | \(M'\) | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
30% | Lognormal | 2.7049–2.4575 | 3.2072–2.0500 | |
40% | Lognormal | 2.6150–2.4137 | 2.6112–1.7552 | |
50% | Lognormal | 2.5477–2.3907 | 2.0644–1.3993 | |
\(s=5\) | \(M'\) | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
|---|---|---|---|---|
30% | Lognormal | 2.4150–1.5356 | 3.1767–1.8703 | |
40% | Lognormal | 1.9141–1.3644 | 2.5502–1.5439 | |
50% | Lognormal | 1.4178–1.1321 | 2.1096–1.2948 |
\(s=50\) | \(M'\) | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
|---|---|---|---|---|
30% | Lognormal | 2.0998–1.3549 | 2.4960–1.4318 | |
40% | Lognormal | 1.8531–1.2754 | 2.1636–1.2831 | |
50% | Lognormal | 1.4735–1.1329 | 1.8042–1.1588 |
\(s=100\) | \(M'\) | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
|---|---|---|---|---|
30% | Lognormal | 2.4287–1.5425 | 2.3031–1.5313 | |
40% | Lognormal | 2.0531–1.4699 | 2.0355–1.3949 | |
50% | Lognormal | 1.7431–1.4430 | 1.7345–1.3223 |