Leverage: 1.0
Supplementary leverage: 3.0
Last date: 2026-07-06
First date: 1994-05-05
Current parameters: mu=0.000000, var_0=0.005074, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000254
Current loss: -11011.404586
Current loss: -11121.531185
Current loss: -11139.101185
Current loss: -11148.074563
Current loss: -11140.948173
Current loss: -11139.172657
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Current loss: -11171.852787
Current loss: -11171.852947
Current loss: -11171.853101
Current loss: -11171.853257
Current loss: -11171.853411
Current loss: -11171.853562
Current loss: -11171.853712
Current loss: -11171.853859
Current loss: -11171.854006
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Current loss: -11171.854433
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Current loss: -11171.854845
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Current loss: -11171.855502
Current loss: -11171.855628
Current loss: -11171.855753
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Current loss: -11171.856118
Current loss: -11171.856237
Current loss: -11171.856354
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Current loss: -11171.856585
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Current loss: -11171.857028
Current loss: -11171.857136
Current loss: -11171.857242
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Current loss: -11171.857450
Current loss: -11171.857552
Current loss: -11171.857653
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Current loss: -11171.857850
Current loss: -11171.857947
Current loss: -11171.858043
Current loss: -11171.858137
Current loss: -11171.858230
Current parameters: mu=0.001688, var_0=0.011201, alpha=0.070854, beta=0.926879, residual=0.002267, omega=0.000025
Eigenvalues of Hessian: [0.2082137065172639, 26.431342929054374, 47.56714768295035, 473.5879126498917]
90% confidence interval of annual long-run volatility: [0.73, 2.43]
80% confidence interval of mean of log annual return: [0.24, 0.61]
50% confidence interval of mean of log annual return: [0.33, 0.52]