Modeling drawdowns and drawups in financial markets - Risk.net

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Beatriz Vaz de Melo Mendes and Vinicius Ratton Brandi
TABLE 2 Observed frequencies (%) of the duration D (in number of days) for the drawdowns and drawups from all indexes.
Drawdowns
Number of days
1 2 3 4 5 6 7 8 9 10 11 12 13 14 ≥15
Dow Jones 47.0 26.4 13.6 6.42 3.77 1.56 0.78 0.23 0.03 0.06 0.09 0.06 0.00 0.00 0.00
S&P500 46.4 26.7 14.3 6.21 3.39 1.69 0.71 0.27 0.18 0.06 0.06 0.03 0.00 0.00 0.00
Nasdaq 46.4 25.9 13.7 5.90 4.09 1.88 1.07 0.67 0.20 0.20 0.00 0.00 0.00 0.00 0.07
CAC40 48.8 24.2 15.5 6.30 3.30 1.30 0.30 0.30 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Hang Seng 48.9 25.2 13.7 6.53 2.37 2.03 0.76 0.17 0.08 0.17 0.08 0.00 0.00 0.00 0.00
FTSE 100 51.7 23.4 13.9 6.38 2.79 1.40 0.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Nikkei 225 49.0 24.5 14.4 6.93 3.07 1.10 0.61 0.25 0.12 0.06 0.00 0.00 0.00 0.00 0.00
IBOVESPA 48.9 27.4 12.8 5.38 2.91 1.35 0.45 0.45 0.45 0.00 0.00 0.00 0.00 0.00 0.00
KOSPI 200 40.9 29.0 12.7 6.66 5.65 2.89 1.13 0.25 0.38 0.25 0.00 0.00 0.13 0.00 0.00
Drawups
Number of days
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 ≥15
Dow Jones 42.0 26.2 16.0 7.31 4.08 2.34 0.94 0.54 0.31 0.14 0.06 0.03 0.03 0.00 0.00
S&P500 40.3 25.9 16.3 8.10 4.37 2.32 1.29 0.65 0.32 0.18 0.09 0.12 0.00 0.00 0.00
Nasdaq 35.8 21.0 16.0 10.1 5.97 3.82 2.88 1.81 0.74 0.54 0.6 0.40 0.07 0.13 0.14
CAC40 44.7 26.3 14.3 5.51 5.83 2.05 0.47 0.31 0.31 0.00 0.00 0.00 0.16 0.00 0.00
Hang Seng 44.5 24.5 13.0 7.90 4.60 2.20 1.61 0.93 0.42 0.08 0.17 0.00 0.00 0.00 0.00
FTSE 100 44.1 25.7 14.6 6.99 4.79 1.80 1.00 0.70 0.20 0.00 0.10 0.00 0.00 0.00 0.00
Nikkei 225 47.3 24.6 11.3 7.85 3.86 1.90 1.35 1.04 0.31 0.18 0.12 0.00 0.00 0.00 0.06
IBOVESPA 45.9 24.6 14.1 7.61 3.80 1.79 1.12 0.00 0.45 0.45 0.00 0.22 0.00 0.00 0.00
KOSPI 200 47.2 25.2 13.9 7.53 2.89 1.25 1.13 0.38 0.13 0.25 0.13 0.00 0.00 0.00 0.00