Leverage: 1.0
Supplementary leverage: 3.0
Last date: 2026-07-06
First date: 1928-01-03
Current parameters: mu=0.000303, var_0=0.001308, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000065
Current loss: -53167.329720
Current loss: -53602.025717
Current loss: -53646.177114
Current loss: -53901.432481
Current loss: -53966.162316
Current loss: -53886.129569
Current loss: -53825.362559
Current loss: -53838.419986
Current loss: -53905.241842
Current loss: -53982.015234
Current loss: -54016.378715
Current loss: -53990.070059
Current loss: -53959.483607
Current loss: -53985.126635
Current loss: -54041.494795
Current loss: -54070.540329
Current loss: -54058.399046
Current loss: -54033.364269
Current loss: -54026.876620
Current loss: -54046.301366
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Current loss: -54078.242766
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Current loss: -54089.408427
Current loss: -54089.409773
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Current loss: -54089.412175
Current loss: -54089.413381
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Current loss: -54089.415651
Current loss: -54089.416732
Current loss: -54089.417832
Current loss: -54089.418853
Current loss: -54089.419834
Current loss: -54089.420837
Current loss: -54089.421794
Current loss: -54089.422700
Current loss: -54089.423611
Current loss: -54089.424503
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Current loss: -54089.426176
Current loss: -54089.427000
Current loss: -54089.427782
Current loss: -54089.428543
Current loss: -54089.429298
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Current loss: -54089.431416
Current loss: -54089.432089
Current loss: -54089.432734
Current loss: -54089.433369
Current loss: -54089.433989
Current loss: -54089.434585
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Current loss: -54089.435738
Current loss: -54089.436287
Current loss: -54089.436822
Current loss: -54089.437346
Current loss: -54089.437853
Current loss: -54089.438344
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Current loss: -54089.439292
Current loss: -54089.439744
Current loss: -54089.440185
Current loss: -54089.440614
Current loss: -54089.441030
Current loss: -54089.441435
Current loss: -54089.441829
Current loss: -54089.442210
Current loss: -54089.442582
Current loss: -54089.442944
Current loss: -54089.443294
Current loss: -54089.443635
Current loss: -54089.443967
Current loss: -54089.444289
Current parameters: mu=0.001516, var_0=0.002194, alpha=0.113504, beta=0.881663, residual=0.004833, omega=0.000011
Eigenvalues of Hessian: [3.5057134538709165, 252.99118300063992, 784.4419173555692, 2448.61378666831]
90% confidence interval of annual long-run volatility: [0.60, 0.91]
80% confidence interval of mean of log annual return: [0.34, 0.43]
50% confidence interval of mean of log annual return: [0.36, 0.41]