(a) EGX 30
(b) MOD1 ()
(c) MOD2 ()
Figure 4: Log-log plot of the complement of the cumulative distribution of normalized (a) EGX 30, (b) MOD1, and (c) MOD2 returns, respectively. The three time series are scaled by their sample standard deviation and absolute returns have been taken to merge the positive and negative tails. For comparison, the dashed lines give the complements of the cumulative distributions of the standard normal distributions. The solid line in each panel presents a performed log-log regression on the largest 30 percent of the observations. The estimated exponent α (the slope of the linear regression) is for the EGX 30, for the MOD1, and for the MOD2. These are close to the results obtained for empirical financial data.