Article ID: | iaor20013700 |
Country: | Netherlands |
Volume: | 17 |
Issue: | 1 |
Start Page Number: | 45 |
End Page Number: | 56 |
Publication Date: | Jan 2001 |
Journal: | International Journal of Forecasting |
Authors: | Brooks Chris, Persand Gita, Burke Simon P. |
This paper reviews nine software packages with particular reference to their GARCH model estimation accuracy when judged against a respected benchmark. We consider the numerical consistency of GARCH and EGARCH estimation and forecasting. Our results have a number of implications for published research and future software development. Finally, we argue that the establishment of benchmarks for other standard non-linear models is long overdue.