Leverage: 1.0
Last date: 2026-07-06
First date: 2000-05-15
Current parameters: mu=0.000395, var_0=0.000440, alpha=0.100000, beta=0.850000, residual=0.050000, omega=0.000022
Current loss: -17304.760975
Current loss: -17352.936565
Current loss: -17383.571892
Current loss: -17375.147170
Current loss: -17351.053283
Current loss: -17360.528180
Current loss: -17382.605467
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Current loss: -17390.750006
Current loss: -17393.378178
Current loss: -17401.290837
Current loss: -17412.167656
Current loss: -17418.822800
Current loss: -17415.398840
Current loss: -17406.841988
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Current loss: -17407.623202
Current loss: -17412.555728
Current loss: -17415.705792
Current loss: -17415.952930
Current loss: -17415.164272
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Current loss: -17418.112947
Current loss: -17418.518687
Current loss: -17416.876900
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Current loss: -17421.123023
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Current loss: -17421.132132
Current loss: -17421.136665
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Current loss: -17421.145670
Current loss: -17421.150145
Current loss: -17421.154605
Current loss: -17421.159037
Current loss: -17421.163445
Current loss: -17421.167832
Current loss: -17421.172194
Current loss: -17421.176529
Current loss: -17421.180841
Current loss: -17421.185128
Current loss: -17421.189385
Current loss: -17421.193613
Current loss: -17421.197814
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Current loss: -17421.218361
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Current loss: -17421.226355
Current loss: -17421.230301
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Current loss: -17421.238088
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Current loss: -17421.249501
Current loss: -17421.253231
Current loss: -17421.256923
Current loss: -17421.260577
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Current loss: -17421.271307
Current loss: -17421.274805
Current loss: -17421.278263
Current loss: -17421.281680
Current loss: -17421.285056
Current loss: -17421.288392
Current loss: -17421.291687
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Current loss: -17421.298151
Current loss: -17421.301320
Current loss: -17421.304448
Current loss: -17421.307533
Current loss: -17421.310576
Current loss: -17421.313577
Current parameters: mu=0.000512, var_0=0.002063, alpha=0.098532, beta=0.899800, residual=0.001668, omega=0.000003
Eigenvalues of Hessian: [0.2807726454247841, 55.218016387608714, 473.35836670460594, 545.3493987253628]
90% confidence interval of annual long-run volatility: [0.30, 1.33]
80% confidence interval of mean of log annual return: [0.07, 0.19]
50% confidence interval of mean of log annual return: [0.10, 0.16]