TY - JOUR
T1 - Benchmarks and the accuracy of GARCH model estimation
AU - Brooks, Chris
AU - Burke, Simon
AU - Persand, Gitanjali
PY - 2001
Y1 - 2001
N2 - 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.
AB - 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.
U2 - 10.1016/S0169-2070(00)00070-4
DO - 10.1016/S0169-2070(00)00070-4
M3 - Article (Academic Journal)
SN - 0169-2070
VL - 17
SP - 45
EP - 56
JO - International Journal of Forecasting
JF - International Journal of Forecasting
IS - 1
ER -