Series

Estimated parameter values (p-values in parentheses)

Standardized residuals

Orig. returns

h₀

Φ

σ₀

St. Dev.

Skew.

Kurt.

Kurt.

SPY

0.7405

−0.0005

1.7432

0.0069

0.022

12.42

13.94

(0.998)

(0.999)

(0.999)

GE

0.0266

25.2173

0.0164

0.9995

0.235

11.60

11.52

(0.000)

(0.000)

(0.000)

IBM (long)

0.0312

26.6106

0.0162

0.9996

0.109

12.24

12.93

(0.000)

(0.000)

(0.000)

IBM (short)

0.0416

0.0076

0.0157

0.9902

0.211

7.43

9.78

(0.000)

(0.000)

(0.000)

KO

0.0257

20.1040

0.0152

0.9992

0.066

12.65

15.36

(0.000)

(0.000)

(0.000)

RDS.A

0.7632

−0.0030

1.7495

0.0114

0.375

12.26

13.83

(1.000)

(1.000)

(1.000)

RDS.B

0.8350

−0.0020

0.6501

0.0310

0.151

10.77

13.57

(0.998)

(0.995)

(0.928)

DJIA

−0.0503

63.8986

−0.0095

0.9994

0.315

20.34

31.11

(0.000)

(0.000)

(0.000)

SP500

−0.0546

44.1210

−0.0095

0.9987

0.310

16.10

23.33

(0.000)

(0.000)

(0.000)

HSI

−0.0935

35.6430

−0.0169

0.9995

0.414

15.65

36.54

(0.000)

(0.000)

(0.000)

SSE

0.7002

−0.0006

1.7537

0.0134

1.518

25.68

28.63

(0.978)

(0.958)

(0.013)