Benchmarks and the accuracy of GARCH model estimation

Benchmarks and the accuracy of GARCH model estimation

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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: , ,
Abstract:

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.

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