Series | Estimated Parameter Values (p-values in parentheses) | Standardized residuals | Orig. returns | ||||||
h0 | Φ | σ0 | ν | μ | St. dev. | Skew. | Kurt. | Kurt. | |
SPY | 0.0542 | 0.0169 | 0.0096 | 4.3797 | 0.0007 | 0.977 | −0.341 | 6.52 | 13.94 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |||||
GE | 0.0235 | 0.0102 | 0.0162 | 4.3741 | 0.0003 | 1.038 | 0.072 | 8.49 | 11.52 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |||||
IBM (long) | 0.0224 | 0.0235 | 0.0162 | 3.9940 | 0.0002 | 1.036 | 0.090 | 11.86 | 12.93 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |||||
IBM (short) | 0.0438 | 0.0078 | 0.0167 | 4.4916 | −0.0002 | 0.950 | 0.210 | 7.38 | 9.78 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |||||
KO | 0.0223 | 0.0191 | 0.0154 | 4.0468 | 0.0003 | 1.035 | −0.059 | 10.58 | 15.36 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |||||
RDS.A | 0.0340 | 0.0047 | 0.0121 | 10.1373 | 0.0010 | 1.391 | −0.126 | 7.84 | 13.83 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |||||
RDS.B | 0.0293 | 0.0039 | 0.0119 | 7.9638 | 0.0010 | 1.476 | −0.027 | 9.60 | 13.57 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |||||
DJIA | 0.0372 | 0.0228 | 0.0088 | 4.2793 | 0.0004 | 0.958 | −0.653 | 14.36 | 31.11 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |||||
SP500 | 0.0367 | 0.0183 | 0.0086 | 3.9756 | 0.0006 | 0.935 | −0.597 | 11.74 | 23.33 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |||||
HSI | 0.0545 | 0.0449 | 0.0163 | 3.4328 | 0.0007 | 0.953 | −0.976 | 19.26 | 36.54 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |||||
SSE | −0.0171 | 0.0267 | 0.0276 | 2.4724 | 0.0004 | 0.827 | 2.116 | 35.37 | 28.63 |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) |