Table 5: The Hurst index for the raw and absolute returns, respectively. The table reports the scaling exponent of raw returns and the scaling exponent of absolute returns for the EGX 30 along with estimates of the mean, the 5 percent, 25 percent, 50 percent, 75 percent, and 95 percent quantiles of these statistics for the MOD1 and the MOD2, respectively, with asymptotic 95% confidence intervals shown in brackets. Computations are based on 5000 time series, each containing 4120 observations.

SeriesMean/quantile

EGX 300.57 (0.55, 0.59)0.81 (0.76, 0.87)

MOD1 ()Mean0.480.86
0.050.410.79
0.250.440.83
0.500.470.86
0.750.510.89
0.950.570.92

MOD2 () Mean0.480.87
0.050.400.80
0.250.440.85
0.500.470.88
0.750.510.90
0.950.570.93