Leverage: 1.0
Last date: 2026-07-06
First date: 1998-12-23
Current parameters: mu=0.000395, var_0=0.000268, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000013
Current loss: -19980.560336
Current loss: -19985.448844
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Current loss: -20198.966671
Current parameters: mu=0.000922, var_0=0.000479, alpha=0.111842, beta=0.883476, residual=0.004681, omega=0.000002
Eigenvalues of Hessian: [1.0610022388165063, 92.84581782598089, 645.3100535277016, 986.1980807534512]
90% confidence interval of annual long-run volatility: [0.23, 0.51]
80% confidence interval of mean of log annual return: [0.19, 0.27]
50% confidence interval of mean of log annual return: [0.21, 0.25]