Leverage: 1.0
Supplementary leverage: -3.0
Last date: 2026-07-06
First date: 1928-01-03
Current parameters: mu=-0.001609, var_0=0.001302, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000065
Current loss: -53105.753099
Current loss: -53383.451861
Current loss: -53551.904065
Current loss: -53804.623437
Current loss: -53871.067120
Current loss: -53804.920671
Current loss: -53741.484865
Current loss: -53747.292854
Current loss: -53814.319702
Current loss: -53894.416897
Current loss: -53937.064752
Current loss: -53924.984075
Current loss: -53893.061373
Current loss: -53894.978010
Current loss: -53937.598213
Current loss: -53983.575856
Current loss: -53998.462129
Current loss: -53981.244102
Current loss: -53959.602992
Current loss: -53960.727115
Current loss: -53985.013838
Current loss: -54008.201755
Current loss: -54008.227455
Current loss: -53990.405693
Current loss: -53980.807509
Current loss: -53991.844567
Current loss: -54008.673048
Current loss: -54013.212975
Current loss: -54005.524683
Current loss: -53998.474460
Current loss: -54001.118503
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Current loss: -54017.095016
Current loss: -54014.521901
Current loss: -54008.151785
Current loss: -54007.447252
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Current loss: -54017.430637
Current loss: -54015.349184
Current loss: -54014.875112
Current loss: -54016.912952
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Current loss: -54018.099943
Current loss: -54016.568051
Current loss: -54016.574198
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Current loss: -54019.603406
Current loss: -54019.605399
Current loss: -54019.607054
Current loss: -54019.608720
Current loss: -54019.610546
Current loss: -54019.612217
Current loss: -54019.613711
Current loss: -54019.615301
Current loss: -54019.616918
Current loss: -54019.618357
Current loss: -54019.619764
Current loss: -54019.621251
Current loss: -54019.622650
Current loss: -54019.623946
Current loss: -54019.625273
Current loss: -54019.626596
Current loss: -54019.627819
Current loss: -54019.629012
Current loss: -54019.630230
Current loss: -54019.631392
Current loss: -54019.632491
Current loss: -54019.633601
Current loss: -54019.634691
Current loss: -54019.635720
Current loss: -54019.636730
Current loss: -54019.637738
Current loss: -54019.638703
Current loss: -54019.639630
Current loss: -54019.640554
Current loss: -54019.641454
Current loss: -54019.642314
Current loss: -54019.643162
Current loss: -54019.643995
Current loss: -54019.644796
Current loss: -54019.645575
Current loss: -54019.646344
Current loss: -54019.647088
Current loss: -54019.647806
Current loss: -54019.648513
Current loss: -54019.649201
Current loss: -54019.649866
Current loss: -54019.650516
Current loss: -54019.651152
Current loss: -54019.651768
Current loss: -54019.652366
Current loss: -54019.652953
Current loss: -54019.653522
Current loss: -54019.654073
Current loss: -54019.654613
Current loss: -54019.655138
Current loss: -54019.655647
Current loss: -54019.656144
Current loss: -54019.656628
Current loss: -54019.657097
Current loss: -54019.657554
Current loss: -54019.658000
Current loss: -54019.658433
Current loss: -54019.658853
Current loss: -54019.659263
Current loss: -54019.659662
Current loss: -54019.660049
Current parameters: mu=-0.002094, var_0=0.002296, alpha=0.099302, beta=0.896998, residual=0.003700, omega=0.000008
Eigenvalues of Hessian: [3.349725425941343, 227.27412810529333, 775.6274697923, 2271.2825015359076]
90% confidence interval of annual long-run volatility: [0.61, 0.93]
80% confidence interval of mean of log annual return: [-0.57, -0.48]
50% confidence interval of mean of log annual return: [-0.55, -0.50]