Series

Estimated parameter values (p-values in parentheses)

Standardized residuals

Orig. returns

h₀

Φ

σ₀

ν

St. Dev.

Skew.

Kurt.

Kurt.

SPY

0.0610

0.0178

0.0105

4.4261

1.026

−0.360

6.46

13.94

(0.000)

(0.000)

(0.000)

(0.000)

GE

−0.0227

0.0101

−0.0157

4.3943

1.021

−0.073

8.29

11.52

(0.000)

(0.000)

(0.000)

(0.000)

IBM (long)

−0.0220

0.0233

−0.0160

4.0101

1.002

−0.086

11.64

12.93

(0.000)

(0.000)

(0.000)

(0.000)

IBM (short)

−0.0387

0.0082

−0.0142

4.4118

1.031

−0.215

7.62

9.78

(0.000)

(0.000)

(0.000)

(0.000)

KO

−0.0217

0.0188

−0.0150

4.0661

1.001

0.058

10.49

15.36

(0.000)

(0.000)

(0.000)

(0.000)

RDS.A

0.0470

0.0054

0.0160

9.3721

1.133

−0.151

7.83

13.83

(0.000)

(0.000)

(0.000)

(0.000)

RDS.B

0.0419

0.0043

0.0164

7.3821

1.155

−0.045

9.66

13.57

(0.000)

(0.000)

(0.000)

(0.000)

DJIA

0.0382

0.0231

0.0090

4.2857

1.011

−0.656

14.57

31.11

(0.000)

(0.000)

(0.000)

(0.000)

SP500

−0.0386

0.0188

−0.0089

3.9905

1.014

0.600

11.97

23.33

(0.000)

(0.000)

(0.000)

(0.000)

HSI

0.0553

0.0448

0.0165

3.4307

0.991

−0.876

17.59

36.54

(0.000)

(0.000)

(0.000)

(0.000)

SSE

−0.0236

9.3089

0.0285

2.4344

0.807

1.768

29.20

28.63

(0.000)

(0.000)

(0.000)

(0.000)