Leverage: 1.0
Supplementary leverage: 1.0
Last date: 2026-07-06
First date: 1994-05-05
Current parameters: mu=0.000616, var_0=0.000551, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000028
Current loss: -20024.524942
Current loss: -20101.325951
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Current parameters: mu=0.000984, var_0=0.001271, alpha=0.072049, beta=0.925771, residual=0.002179, omega=0.000003
Eigenvalues of Hessian: [0.4807113062445804, 61.376656740488734, 435.0058779945518, 513.6394822158758]
90% confidence interval of annual long-run volatility: [0.31, 0.94]
80% confidence interval of mean of log annual return: [0.19, 0.31]
50% confidence interval of mean of log annual return: [0.22, 0.28]