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1{2 "equity_etf|mv_qlike|mcs": {3 "rolling_cov252": {4 "p": 0.1485,5 "in": true6 },7 "ccc_garch11": {8 "p": 0.1485,9 "in": true10 },11 "ewma_cov094": {12 "p": 0.1485,13 "in": true14 },15 "scalar_bekk11": {16 "p": 0.58,17 "in": true18 },19 "dcc11": {20 "p": 0.8825,21 "in": true22 },23 "adcc11": {24 "p": 1.0,25 "in": true26 }27 },28 "equity_etf|frobenius|mcs": {29 "rolling_cov252": {30 "p": 0.18,31 "in": true32 },33 "ewma_cov094": {34 "p": 0.275,35 "in": true36 },37 "scalar_bekk11": {38 "p": 0.275,39 "in": true40 },41 "ccc_garch11": {42 "p": 0.6,43 "in": true44 },45 "dcc11": {46 "p": 0.6,47 "in": true48 },49 "adcc11": {50 "p": 1.0,51 "in": true52 }53 },54 "equity_etf|pf_qlike|mcs": {55 "rolling_cov252": {56 "p": 0.009,57 "in": false58 },59 "scalar_bekk11": {60 "p": 0.009,61 "in": false62 },63 "adcc11": {64 "p": 0.0495,65 "in": false66 },67 "dcc11": {68 "p": 0.0495,69 "in": false70 },71 "ccc_garch11": {72 "p": 0.1605,73 "in": true74 },75 "ewma_cov094": {76 "p": 1.0,77 "in": true78 }79 },80 "equity_etf": {81 "status": {82 "scalar_bekk11": {83 "ok": 3714,84 "stale_fit": 12,85 "failed": 386 },87 "ewma_cov094": {88 "ok": 372989 },90 "ccc_garch11": {91 "ok": 372992 },93 "dcc11": {94 "ok": 3724,95 "stale_fit": 4,96 "failed": 197 },98 "rolling_cov252": {99 "ok": 3729100 },101 "adcc11": {102 "ok": 3729103 }104 },105 "min_eig": {106 "scalar_bekk11": 0.006010815833184991,107 "ewma_cov094": 0.0031947596439815653,108 "ccc_garch11": 0.004815009731325456,109 "dcc11": 0.005354723347930409,110 "rolling_cov252": 0.006882642798643244,111 "adcc11": 0.005351501322739715112 },113 "fit_time_median": {114 "scalar_bekk11": 0.3354298749472946,115 "ewma_cov094": 0.0022549170535057783,116 "ccc_garch11": 0.03033295809291303,117 "dcc11": 0.5246754579711705,118 "rolling_cov252": 3.2458221539855e-05,119 "adcc11": 2.3350944579578936120 },121 "basket": [122 "SPY",123 "QQQ",124 "IWM",125 "DIA"126 ]127 },128 "cross_asset_etf|mv_qlike|mcs": {129 "rolling_cov252": {130 "p": 0.0065,131 "in": false132 },133 "ccc_garch11": {134 "p": 0.011,135 "in": false136 },137 "ewma_cov094": {138 "p": 0.7765,139 "in": true140 },141 "scalar_bekk11": {142 "p": 0.7765,143 "in": true144 },145 "adcc11": {146 "p": 0.7765,147 "in": true148 },149 "dcc11": {150 "p": 1.0,151 "in": true152 }153 },154 "cross_asset_etf|frobenius|mcs": {155 "rolling_cov252": {156 "p": 0.176,157 "in": true158 },159 "ccc_garch11": {160 "p": 0.176,161 "in": true162 },163 "scalar_bekk11": {164 "p": 0.702,165 "in": true166 },167 "dcc11": {168 "p": 0.702,169 "in": true170 },171 "adcc11": {172 "p": 0.702,173 "in": true174 },175 "ewma_cov094": {176 "p": 1.0,177 "in": true178 }179 },180 "cross_asset_etf|pf_qlike|mcs": {181 "rolling_cov252": {182 "p": 0.059,183 "in": false184 },185 "scalar_bekk11": {186 "p": 0.1455,187 "in": true188 },189 "ccc_garch11": {190 "p": 0.1455,191 "in": true192 },193 "dcc11": {194 "p": 0.1455,195 "in": true196 },197 "adcc11": {198 "p": 0.1455,199 "in": true200 },201 "ewma_cov094": {202 "p": 1.0,203 "in": true204 }205 },206 "cross_asset_etf": {207 "status": {208 "adcc11": {209 "ok": 3729210 },211 "scalar_bekk11": {212 "ok": 3724,213 "stale_fit": 4,214 "failed": 1215 },216 "rolling_cov252": {217 "ok": 3729218 },219 "ewma_cov094": {220 "ok": 3729221 },222 "dcc11": {223 "ok": 3724,224 "stale_fit": 4,225 "failed": 1226 },227 "ccc_garch11": {228 "ok": 3729229 }230 },231 "min_eig": {232 "adcc11": 0.06610705561827869,233 "scalar_bekk11": 0.08788040644684414,234 "rolling_cov252": 0.07367312298403393,235 "ewma_cov094": 0.032462018825159,236 "dcc11": 0.06610884358614978,237 "ccc_garch11": 0.055833734900764855238 },239 "fit_time_median": {240 "adcc11": 2.3750219794455916,241 "scalar_bekk11": 0.37982141657266766,242 "rolling_cov252": 3.770901821553707e-05,243 "ewma_cov094": 0.00260908342897892,244 "dcc11": 0.621075104107149,245 "ccc_garch11": 0.09997706243302673246 },247 "basket": [248 "SPY",249 "TLT",250 "GLD",251 "USO",252 "EEM"253 ]254 }255}