Leverage: 1.0
Supplementary leverage: 2.0
Last date: 2026-07-06
First date: 1928-01-03
Current parameters: mu=0.000350, var_0=0.000570, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000029
Current loss: -63285.948106
Current loss: -63592.832691
Current loss: -63739.560779
Current loss: -63970.527275
Current loss: -64015.110604
Current loss: -63951.101962
Current loss: -63891.735273
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Current loss: -63978.487962
Current loss: -64066.481490
Current loss: -64096.339772
Current loss: -64064.596320
Current loss: -64039.055454
Current loss: -64066.297787
Current loss: -64116.225068
Current loss: -64144.689372
Current loss: -64139.593337
Current loss: -64116.973420
Current loss: -64104.819769
Current loss: -64119.573221
Current loss: -64148.372255
Current loss: -64160.411143
Current loss: -64144.714818
Current loss: -64127.907210
Current loss: -64136.384895
Current loss: -64157.898821
Current loss: -64165.552351
Current loss: -64156.203498
Current loss: -64147.319490
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Current loss: -64165.832202
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Current loss: -64161.682140
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Current loss: -64169.804074
Current loss: -64169.804843
Current loss: -64169.805701
Current loss: -64169.806607
Current loss: -64169.807353
Current loss: -64169.808078
Current loss: -64169.808907
Current loss: -64169.809629
Current loss: -64169.810278
Current loss: -64169.810996
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Current loss: -64169.812909
Current loss: -64169.813547
Current loss: -64169.814125
Current loss: -64169.814672
Current loss: -64169.815251
Current loss: -64169.815789
Current loss: -64169.816287
Current loss: -64169.816801
Current loss: -64169.817298
Current loss: -64169.817759
Current loss: -64169.818216
Current loss: -64169.818673
Current loss: -64169.819100
Current loss: -64169.819510
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Current loss: -64169.820690
Current loss: -64169.821063
Current loss: -64169.821422
Current loss: -64169.821763
Current loss: -64169.822099
Current loss: -64169.822427
Current loss: -64169.822738
Current loss: -64169.823042
Current loss: -64169.823340
Current loss: -64169.823623
Current loss: -64169.823898
Current loss: -64169.824168
Current loss: -64169.824426
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Current loss: -64169.824920
Current loss: -64169.825155
Current loss: -64169.825381
Current loss: -64169.825601
Current loss: -64169.825815
Current loss: -64169.826020
Current loss: -64169.826219
Current loss: -64169.826412
Current loss: -64169.826598
Current loss: -64169.826778
Current loss: -64169.826953
Current loss: -64169.827121
Current loss: -64169.827284
Current loss: -64169.827442
Current parameters: mu=0.001075, var_0=0.000927, alpha=0.110307, beta=0.884808, residual=0.004885, omega=0.000005
Eigenvalues of Hessian: [4.057668006755082, 295.4954739210175, 1747.3219130826171, 2455.790211304275]
90% confidence interval of annual long-run volatility: [0.39, 0.59]
80% confidence interval of mean of log annual return: [0.24, 0.30]
50% confidence interval of mean of log annual return: [0.25, 0.29]