Location (α)

Scale (β)

Shape (ξ)

AIC

BIC

Trading Probability

Monthly

0.09063397

0.01067649

−0.25235822

−1011.7

−1002.4

(0.0009206428)

(0.000656478)

(0.0513461475)

Quarterly

0.102197627

0.007647448

−0.276938245

−375.1813

−369.1593

(0.001132243)

(0.001067715)

(0.112225046)

Yearly

0.109539662

0.004598719

−0.178119324

−112.4289

−110.3048

(0.0012752261)

(0.0006707409)

(0.0959226942)

Market Efficiency Co-efficient

Monthly

0.3434307

0.2408464

0.5554789

159.3153

168.6149

(0.0220972)

0.02184602

(0.08905541)

Quarterly

0.7753343

0.3842212

0.5746237

110.1169

116.1389

(0.06109291)

(0.06089458)

(0.15749316)

Yearly

1.6139904

0.7907646

0.6071103

56.61345

58.7376

(0.238797)

(0.2441333)

(0.2997652)

log Total Volume

Monthly

26.865093

0.6580961

−0.0440702

379.8588

389.1584

0.05828496

0.04213254

0.06219878

Quarterly

26.97274012

0.633656052

0.005591595

130.3922

136.4142

0.09777003

0.07209921

0.11428687

Yearly

27.13098547

0.69807623

0.03719912

43.36229

45.48644

0.2037179

0.1500206

0.2043452