Leverage: 1.0
Supplementary leverage: 1.0
Last date: 2026-07-06
First date: 1928-01-03
Current parameters: mu=0.000269, var_0=0.000143, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000007
Current loss: -80301.779654
Current loss: -80096.802130
Current loss: -80739.251652
Current loss: -80830.965217
Current loss: -80755.421432
Current loss: -80803.110246
Current loss: -80854.664759
Current loss: -80844.066141
Current loss: -80846.595299
Current loss: -80945.018459
Current loss: -81062.827424
Current loss: -81066.990316
Current loss: -80981.157847
Current loss: -80967.765003
Current loss: -81060.356349
Current loss: -81142.889110
Current loss: -81133.463182
Current loss: -81071.038480
Current loss: -81043.619716
Current loss: -81083.111652
Current loss: -81143.256463
Current loss: -81158.425484
Current loss: -81121.881212
Current loss: -81094.596456
Current loss: -81116.710795
Current loss: -81153.932074
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Current loss: -81128.897927
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Current loss: -81169.421713
Current loss: -81169.422406
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Current loss: -81169.423806
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Current loss: -81169.427441
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Current loss: -81169.432170
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Current loss: -81169.433674
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Current loss: -81169.434356
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Current loss: -81169.436152
Current loss: -81169.436417
Current loss: -81169.436676
Current loss: -81169.436924
Current loss: -81169.437164
Current loss: -81169.437398
Current loss: -81169.437623
Current loss: -81169.437840
Current loss: -81169.438050
Current loss: -81169.438253
Current parameters: mu=0.000591, var_0=0.000230, alpha=0.108219, beta=0.886891, residual=0.004891, omega=0.000001
Eigenvalues of Hessian: [4.372293290799353, 326.1448919616437, 2432.90763865466, 7016.999569520398]
90% confidence interval of annual long-run volatility: [0.20, 0.29]
80% confidence interval of mean of log annual return: [0.13, 0.16]
50% confidence interval of mean of log annual return: [0.14, 0.16]