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 |
|
|