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) |