Both Tails
6,940 tail observations
CCDF alpha
2.93
Hill stable n/a
CCDF power-law fit
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Hill plot
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Tail Compare for SPY
Compare both tails, right tail, and left tail alpha estimates across daily, weekly, and monthly moves.
Alpha Summary
| Move Window | Both Tails Alpha | Right Tail Alpha | Left Tail Alpha | Observations | Std Dev | Fit k |
|---|---|---|---|---|---|---|
Daily Close-to-close daily returns | CCDF2.93 Hilln/a | CCDF2.60 Hilln/a | CCDF2.78 Hilln/a | 6,940 | 1.22% | 336 |
Weekly Friday-based weekly returns | CCDF3.20 Hilln/a | CCDF2.94 Hilln/a | CCDF2.71 Hilln/a | 1,204 | 2.30% | 57 |
Monthly Month-to-month returns | CCDF5.81 Hilln/a | CCDF6.41 Hilln/a | CCDF4.75 Hilln/a | 165 | 4.42% | 8 |
Daily Moves
Close-to-close daily returns
6,940 observationsStd dev 1.22%Fit k 336
Right Tail
3,743 tail observations
CCDF alpha
2.60
Hill stable n/a
CCDF power-law fit
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Hill plot
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Left Tail
3,172 tail observations
CCDF alpha
2.78
Hill stable n/a
CCDF power-law fit
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Hill plot
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Weekly Moves
Friday-based weekly returns
1,204 observationsStd dev 2.30%Fit k 57
Both Tails
1,204 tail observations
CCDF alpha
3.20
Hill stable n/a
CCDF power-law fit
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Hill plot
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Right Tail
666 tail observations
CCDF alpha
2.94
Hill stable n/a
CCDF power-law fit
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Hill plot
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Left Tail
538 tail observations
CCDF alpha
2.71
Hill stable n/a
CCDF power-law fit
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Hill plot
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Monthly Moves
Month-to-month returns
165 observationsStd dev 4.42%Fit k 8
Both Tails
165 tail observations
CCDF alpha
5.81
Hill stable n/a
CCDF power-law fit
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Hill plot
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Right Tail
99 tail observations
CCDF alpha
6.41
Hill stable n/a
CCDF power-law fit
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Hill plot
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Left Tail
66 tail observations
CCDF alpha
4.75
Hill stable n/a
CCDF power-law fit
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Hill plot
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