Leverage: 1.0
Supplementary leverage: 1.0
Last date: 2026-07-06
First date: 1985-10-02
Current parameters: mu=0.000557, var_0=0.000259, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000013
Current loss: -29810.590676
Current loss: -29734.848341
Current loss: -29923.428660
Current loss: -29981.160271
Current loss: -29944.912511
Current loss: -29928.810902
Current loss: -29937.829833
Current loss: -29955.646673
Current loss: -29980.796418
Current loss: -30009.610578
Current loss: -30018.362667
Current loss: -30000.922942
Current loss: -29992.996114
Current loss: -30014.945407
Current loss: -30039.794707
Current loss: -30039.453549
Current loss: -30021.234202
Current loss: -30012.387676
Current loss: -30024.062969
Current loss: -30041.613093
Current loss: -30045.155501
Current loss: -30034.323877
Current loss: -30027.864385
Current loss: -30035.148572
Current loss: -30044.687667
Current loss: -30045.004083
Current loss: -30039.139381
Current loss: -30036.107424
Current loss: -30038.771757
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Current loss: -30047.183596
Current loss: -30047.183611
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Current loss: -30047.183610
Current loss: -30047.183602
Current loss: -30047.183614
Current loss: -30047.183617
Current loss: -30047.183607
Current loss: -30047.183614
Current loss: -30047.183619
Current loss: -30047.183611
Current loss: -30047.183614
Current loss: -30047.183619
Current loss: -30047.183616
Current loss: -30047.183616
Current loss: -30047.183619
Current loss: -30047.183619
Current loss: -30047.183618
Current loss: -30047.183619
Current loss: -30047.183621
Current loss: -30047.183620
Current loss: -30047.183620
Current loss: -30047.183622
Current loss: -30047.183621
Current loss: -30047.183620
Current loss: -30047.183622
Current loss: -30047.183622
Current loss: -30047.183621
Current loss: -30047.183623
Current loss: -30047.183623
Current loss: -30047.183622
Current loss: -30047.183623
Current loss: -30047.183623
Current loss: -30047.183623
Current loss: -30047.183623
Current loss: -30047.183623
Current loss: -30047.183623
Current loss: -30047.183623
Current loss: -30047.183623
Current loss: -30047.183623
Current loss: -30047.183623
Current loss: -30047.183624
Current loss: -30047.183624
Current loss: -30047.183623
Current loss: -30047.183624
Current parameters: mu=0.001023, var_0=0.000280, alpha=0.106789, beta=0.882693, residual=0.010518, omega=0.000003
Eigenvalues of Hessian: [5.3894773628299815, 172.57563737577416, 943.1641293194947, 1387.9383960678374]
90% confidence interval of annual long-run volatility: [0.23, 0.31]
80% confidence interval of mean of log annual return: [0.22, 0.29]
50% confidence interval of mean of log annual return: [0.24, 0.28]