Leverage: 1.0
Supplementary leverage: -3.0
Last date: 2026-07-06
First date: 1994-05-05
Current parameters: mu=-0.005255, var_0=0.005386, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000269
Current loss: -10863.768381
Current loss: -10985.032670
Current loss: -11015.563355
Current loss: -11030.341024
Current loss: -11022.535829
Current loss: -11014.586600
Current loss: -11021.531350
Current loss: -11029.402090
Current loss: -11027.238571
Current loss: -11025.346021
Current loss: -11032.176643
Current loss: -11038.738322
Current loss: -11039.737385
Current loss: -11040.230207
Current loss: -11043.971481
Current loss: -11048.410578
Current loss: -11050.043158
Current loss: -11050.311051
Current loss: -11052.175818
Current loss: -11053.848603
Current loss: -11053.169815
Current loss: -11052.068897
Current loss: -11052.662810
Current loss: -11053.548115
Current loss: -11052.730650
Current loss: -11051.649480
Current loss: -11052.345863
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Current loss: -11053.457933
Current loss: -11053.339067
Current loss: -11054.057989
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Current loss: -11054.660792
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Current loss: -11055.647261
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Current loss: -11055.651315
Current loss: -11055.652095
Current loss: -11055.652863
Current loss: -11055.653622
Current loss: -11055.654366
Current loss: -11055.655105
Current loss: -11055.655830
Current loss: -11055.656544
Current loss: -11055.657251
Current loss: -11055.657946
Current loss: -11055.658633
Current loss: -11055.659309
Current loss: -11055.659977
Current loss: -11055.660636
Current loss: -11055.661284
Current loss: -11055.661924
Current loss: -11055.662554
Current loss: -11055.663176
Current loss: -11055.663788
Current loss: -11055.664391
Current loss: -11055.664987
Current loss: -11055.665573
Current loss: -11055.666152
Current loss: -11055.666722
Current loss: -11055.667284
Current loss: -11055.667838
Current loss: -11055.668384
Current loss: -11055.668922
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Current loss: -11055.669975
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Current loss: -11055.670997
Current loss: -11055.671497
Current loss: -11055.671990
Current loss: -11055.672475
Current loss: -11055.672954
Current loss: -11055.673425
Current loss: -11055.673890
Current loss: -11055.674348
Current loss: -11055.674799
Current loss: -11055.675243
Current loss: -11055.675681
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Current loss: -11055.676537
Current loss: -11055.676955
Current loss: -11055.677368
Current loss: -11055.677774
Current loss: -11055.678174
Current loss: -11055.678568
Current loss: -11055.678956
Current parameters: mu=-0.005048, var_0=0.013986, alpha=0.069044, beta=0.929284, residual=0.001672, omega=0.000023
Eigenvalues of Hessian: [0.2456936035591614, 24.236527188747058, 46.936870704226926, 507.29777085628746]
90% confidence interval of annual long-run volatility: [0.98, 2.55]
80% confidence interval of mean of log annual return: [-1.46, -1.08]
50% confidence interval of mean of log annual return: [-1.37, -1.17]