1{2 "versions": {3 "R": "R version 4.6.1 (2026-06-24)",4 "highfrequency": "1.0.3",5 "rugarch": "1.5.6"6 },7 "realized": [8 {9 "symbol": "SYN1",10 "session": "2024-11-25",11 "n_returns": 376,12 "rv": 0.00024637973969908694,13 "bpv": 0.00025302528836869474,14 "rsv": [15 0.00011826488596639238,16 0.0001281148537326945417 ],18 "rq": 6.1955475593533076e-08,19 "bns_jump_stat": -0.6368674641202007920 },21 {22 "symbol": "SYN1",23 "session": "2024-11-26",24 "n_returns": 380,25 "rv": 0.00025120155461075104,26 "bpv": 0.00025054486669860156,27 "rsv": [28 0.00014267619680554289,29 0.0001085253578052078930 ],31 "rq": 6.7253679376590466e-08,32 "bns_jump_stat": 0.06897074252489553133 },34 {35 "symbol": "SYN1",36 "session": "2024-11-27",37 "n_returns": 378,38 "rv": 0.0002390168957960943,39 "bpv": 0.00022840680183704593,40 "rsv": [41 0.00013122649739655021,42 0.0001077903983995440243 ],44 "rq": 5.6950640282455897e-08,45 "bns_jump_stat": 1.163837838827078546 },47 {48 "symbol": "SYN1",49 "session": "2024-11-29",50 "n_returns": 202,51 "rv": 0.00012568246852596236,52 "bpv": 0.00012277463617564428,53 "rsv": [54 6.122043330139223e-05,55 6.446203522457004e-0556 ],57 "rq": 1.5743895380525133e-08,58 "bns_jump_stat": 0.4126830670448385459 },60 {61 "symbol": "SYN1",62 "session": "2024-12-02",63 "n_returns": 374,64 "rv": 0.00025663107389074444,65 "bpv": 0.00026185091449691135,66 "rsv": [67 0.00013313693173621296,68 0.0001234941421545313469 ],70 "rq": 5.8890476779010351e-08,71 "bns_jump_stat": -0.5214958890239039872 },73 {74 "symbol": "SYN2",75 "session": "2024-11-25",76 "n_returns": 379,77 "rv": 0.00082192359382040508,78 "bpv": 0.00077128792714542993,79 "rsv": [80 0.00044988199402507862,81 0.000372041599795326482 ],83 "rq": 7.2168645678471738e-07,84 "bns_jump_stat": 1.61056328686811985 },86 {87 "symbol": "SYN2",88 "session": "2024-11-26",89 "n_returns": 372,90 "rv": 0.00083538319359307796,91 "bpv": 0.00079559175532029731,92 "rsv": [93 0.00045959249810148073,94 0.0003757906954915972995 ],96 "rq": 7.9965430681871144e-07,97 "bns_jump_stat": 1.254286021085050498 },99 {100 "symbol": "SYN2",101 "session": "2024-11-27",102 "n_returns": 379,103 "rv": 0.00094331162341424076,104 "bpv": 0.00091513546495405808,105 "rsv": [106 0.00048049767491522617,107 0.00046281394849901556108 ],109 "rq": 8.6472512831618337e-07,110 "bns_jump_stat": 0.84552683387723016111 },112 {113 "symbol": "SYN2",114 "session": "2024-11-29",115 "n_returns": 204,116 "rv": 0.00041835614920297191,117 "bpv": 0.00041596105295539106,118 "rsv": [119 0.00019707105657041914,120 0.00022128509263255283121 ],122 "rq": 1.7220072106991806e-07,123 "bns_jump_stat": 0.10257694520744498124 },125 {126 "symbol": "SYN2",127 "session": "2024-12-02",128 "n_returns": 376,129 "rv": 0.00081343264911332375,130 "bpv": 0.00074702008065915127,131 "rsv": [132 0.00040838597594895434,133 0.00040504667316436957134 ],135 "rq": 6.1891158459595883e-07,136 "bns_jump_stat": 2.3533450016448088137 }138 ],139 "har_h1": {140 "coef": [141 3.5722370546217632e-05,142 0.70518726337650595,143 -0.0026533461235811935,144 -0.0053820721046231841145 ],146 "names": ["(Intercept)", "RV1", "RV5", "RV22"],147 "n": 1478,148 "ssr": 4.9066292970164608e-06149 },150 "har_h5": {151 "coef": [152 7.303627566100136e-05,153 0.4023751739951188,154 -0.012151755617208278,155 -0.010149362030271216156 ],157 "n": 1474,158 "ssr": 4.5531062852922072e-06159 },160 "harq_h1": {161 "coef": [162 3.0480165047628301e-05,163 0.75934012713345289,164 -0.0096384376195148974,165 -0.002776592386853348,166 -153.55046863809272167 ],168 "names": ["(Intercept)", "RV1", "RV5", "RV22", "RQ1"],169 "n": 1478,170 "ssr": 4.8947444550853927e-06171 },172 "garch": {173 "sGARCH.norm": {174 "coef": {175 "mu": -0.01822814352585278,176 "omega": 0.046968370528598521,177 "alpha1": 0.045332156957475216,178 "beta1": 0.89386846098192896179 },180 "se": {181 "mu": 0.015720112893335601,182 "omega": 0.020057089545485348,183 "alpha1": 0.012340636889580047,184 "beta1": 0.035421075697137025185 },186 "robust_se": {187 "mu": 0.017043974680386417,188 "omega": 0.020836549077324372,189 "alpha1": 0.014636746334251497,190 "beta1": 0.038358083830533872191 },192 "loglik": -3841.0200748070997,193 "converged": true,194 "forecast_h5": [0.94763507510028322, 0.93698781864383818, 0.92698790880058568, 0.91759598729646441, 0.90877508881615554]195 },196 "gjrGARCH.norm": {197 "coef": {198 "mu": -0.01921714832040566,199 "omega": 0.049606222107306731,200 "alpha1": 0.041772517207855783,201 "beta1": 0.88881536902228075,202 "gamma1": 0.010749578214706531203 },204 "se": {205 "mu": 0.015788877242223259,206 "omega": 0.020732037955024357,207 "alpha1": 0.012738012140778642,208 "beta1": 0.036358574231286772,209 "gamma1": 0.01681215666556346210 },211 "robust_se": {212 "mu": 0.016963187542588787,213 "omega": 0.021997526667836047,214 "alpha1": 0.012381109622775522,215 "beta1": 0.040044430330484673,216 "gamma1": 0.017230012922633861217 },218 "loglik": -3840.8034370254973,219 "converged": true,220 "forecast_h5": [0.97755196253582011, 0.96455837224266494, 0.95239685670965857, 0.94101413209524076, 0.93036032671251323]221 },222 "eGARCH.norm": {223 "coef": {224 "mu": -0.022966085734094945,225 "omega": -0.012779542213507692,226 "alpha1": -0.00076829518133545631,227 "beta1": 0.9532136736359611,228 "gamma1": 0.089834797367789293229 },230 "se": {231 "mu": 0.015731171060962931,232 "omega": 0.020613569207631303,233 "alpha1": 0.013206355990077282,234 "beta1": 0.073113474575883089,235 "gamma1": 0.060626191829447999236 },237 "robust_se": {238 "mu": 0.017146433037466612,239 "omega": 0.088337872440952633,240 "alpha1": 0.040033713535164918,241 "beta1": 0.31484565953594218,242 "gamma1": 0.25365796252326678243 },244 "loglik": -3840.6120305950508,245 "converged": true,246 "forecast_h5": [0.94230544276184092, 0.93293006812265378, 0.92408018148567717, 0.91572251144926264, 0.90782624332712947]247 },248 "sGARCH.std": {249 "coef": {250 "mu": -0.018816592659429972,251 "omega": 0.046191939728617612,252 "alpha1": 0.044962812250873993,253 "beta1": 0.89536963039369999,254 "shape": 99.999873765090996255 },256 "se": {257 "mu": 0.015733116019376509,258 "omega": 0.020181074534464737,259 "alpha1": 0.012481787204476544,260 "beta1": 0.035670675658710446,261 "shape": 68.929603216724544262 },263 "robust_se": {264 "mu": 0.017107427281700522,265 "omega": 0.02085183337489558,266 "alpha1": 0.014641888146575781,267 "beta1": 0.038396705016878786,268 "shape": 24.403762618119906269 },270 "loglik": -3841.7221654386312,271 "converged": true,272 "forecast_h5": [0.94772578579531741, 0.93736924284277667, 0.92763064951086072, 0.9184731342551381, 0.90986202556616935]273 }274 }275}276