Series

Estimated parameter values (p-values in parentheses)

Standardized residuals

Orig. returns

h0

Φ

σ0

ν

St. Dev.

Skew.

Kurt.

Kurt.

SPY

0.0716

0.0191

0.0120

4.5279

1.1270

−0.393

6.47

13.94

(0.000)

(0.000)

(0.000)

(0.000)

GE

0.0247

0.0103

0.0169

4.3504

1.0635

0.072

8.78

11.52

(0.000)

(0.000)

(0.000)

(0.000)

IBM (long)

−0.0227

0.0237

−0.0164

3.9840

1.0644

−0.093

12.03

12.93

(0.000)

(0.000)

(0.000)

(0.000)

IBM (short)

0.0422

0.0079

0.0159

4.4697

0.9741

0.211

7.44

9.78

(0.000)

(0.000)

(0.000)

(0.000)

KO

0.0231

0.0194

0.0158

4.0320

1.0768

−0.060

10.69

15.36

(0.000)

(0.000)

(0.000)

(0.000)

RDS.A

−0.0600

0.0075

−0.0195

8.6364

1.0009

0.176

7.81

13.83

(0.000)

(0.000)

(0.000)

(0.000)

RDS.B

0.0544

0.0069

0.0199

6.8707

1.0111

−0.069

9.71

13.57

(0.000)

(0.000)

(0.000)

(0.000)

DJIA

0.0410

0.0241

0.0095

4.3174

1.1804

−0.665

15.14

31.11

(0.000)

(0.000)

(0.000)

(0.000)

SP500

−0.0002

−0.0001

0.0072

3.7805

1.3367

−0.601

23.46

23.33

(0.000)

(0.000)

(0.000)

(0.000)

HSI

−0.0573

0.0445

−0.0172

3.4392

1.0906

0.670

14.40

36.54

(0.000)

(0.000)

(0.000)

(0.000)

SSE

−0.0213

12.5153

0.0283

2.4436

0.8126

1.765

29.14

28.63

(0.000)

(0.000)

(0.000)

(0.000)