Leverage: 1.0
Supplementary leverage: -3.0
Last date: 2026-07-06
First date: 1985-10-02
Current parameters: mu=-0.003219, var_0=0.002455, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000123
Current loss: -18383.088614
Current loss: -18425.640364
Current loss: -18515.142115
Current loss: -18602.069667
Current loss: -18596.574874
Current loss: -18565.155302
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Current loss: -18621.233244
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Current loss: -18635.921070
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Current loss: -18650.014603
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Current loss: -18650.014622
Current loss: -18650.014630
Current loss: -18650.014645
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Current loss: -18650.014668
Current loss: -18650.014675
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Current loss: -18650.014689
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Current loss: -18650.014695
Current loss: -18650.014696
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Current loss: -18650.014699
Current loss: -18650.014701
Current loss: -18650.014702
Current loss: -18650.014702
Current loss: -18650.014703
Current loss: -18650.014704
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Current loss: -18650.014704
Current loss: -18650.014705
Current loss: -18650.014704
Current loss: -18650.014705
Current loss: -18650.014705
Current loss: -18650.014705
Current loss: -18650.014705
Current loss: -18650.014705
Current loss: -18650.014705
Current loss: -18650.014705
Current loss: -18650.014706
Current loss: -18650.014706
Current loss: -18650.014705
Current loss: -18650.014706
Current parameters: mu=-0.003937, var_0=0.002920, alpha=0.103964, beta=0.887821, residual=0.008214, omega=0.000024
Eigenvalues of Hessian: [3.270503601318937, 108.91849491133279, 151.55481516699882, 911.381524370768]
90% confidence interval of annual long-run volatility: [0.70, 1.03]
80% confidence interval of mean of log annual return: [-1.10, -0.89]
50% confidence interval of mean of log annual return: [-1.05, -0.94]