Leverage: 1.0
Supplementary leverage: -3.0
Last date: 2026-07-06
First date: 1998-12-23
Current parameters: mu=-0.002792, var_0=0.002521, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000126
Current loss: -12261.827046
Current loss: -12335.151030
Current loss: -12378.101677
Current loss: -12446.452703
Current loss: -12458.254645
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Current loss: -12500.551688
Current loss: -12500.551936
Current parameters: mu=-0.003602, var_0=0.005600, alpha=0.110691, beta=0.885874, residual=0.003435, omega=0.000019
Eigenvalues of Hessian: [0.6918161788384173, 49.679926814043334, 106.97761832060527, 639.1201326697376]
90% confidence interval of annual long-run volatility: [0.72, 1.65]
80% confidence interval of mean of log annual return: [-1.03, -0.78]
50% confidence interval of mean of log annual return: [-0.97, -0.84]