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)