Leverage: 1.0
Supplementary leverage: 2.0
Last date: 2026-07-06
First date: 1985-10-02
Current parameters: mu=0.000791, var_0=0.001054, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000053
Current loss: -22634.812131
Current loss: -22664.374959
Current loss: -22753.011503
Current loss: -22835.154395
Current loss: -22817.862929
Current loss: -22783.051904
Current loss: -22779.110348
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Current loss: -22833.181260
Current loss: -22852.074300
Current loss: -22847.770647
Current loss: -22833.825411
Current loss: -22838.512478
Current loss: -22859.964072
Current loss: -22872.096745
Current loss: -22864.737910
Current loss: -22852.499704
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Current loss: -22862.707738
Current loss: -22871.736813
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Current loss: -22868.697929
Current loss: -22873.689725
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Current loss: -22874.407094
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Current loss: -22874.407122
Current loss: -22874.407107
Current loss: -22874.407118
Current loss: -22874.407126
Current loss: -22874.407116
Current loss: -22874.407119
Current loss: -22874.407128
Current loss: -22874.407123
Current loss: -22874.407122
Current loss: -22874.407131
Current loss: -22874.407129
Current loss: -22874.407126
Current loss: -22874.407131
Current loss: -22874.407132
Current loss: -22874.407129
Current loss: -22874.407132
Current loss: -22874.407135
Current loss: -22874.407132
Current loss: -22874.407134
Current loss: -22874.407136
Current loss: -22874.407134
Current loss: -22874.407135
Current loss: -22874.407137
Current loss: -22874.407136
Current loss: -22874.407136
Current loss: -22874.407138
Current loss: -22874.407137
Current loss: -22874.407137
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407137
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current loss: -22874.407138
Current parameters: mu=0.001858, var_0=0.001122, alpha=0.109092, beta=0.879873, residual=0.011035, omega=0.000012
Eigenvalues of Hessian: [5.368136236624626, 154.27161757921291, 339.7816735492966, 945.3057427697445]
90% confidence interval of annual long-run volatility: [0.45, 0.62]
80% confidence interval of mean of log annual return: [0.40, 0.54]
50% confidence interval of mean of log annual return: [0.43, 0.50]