Benchmarks and the accuracy of GARCH model estimation

Chris Brooks, Simon Burke, Gitanjali Persand

Research output: Contribution to journalArticle (Academic Journal)peer-review

85 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)45-56
Number of pages12
JournalInternational Journal of Forecasting
Volume17
Issue number1
DOIs
Publication statusPublished - 2001

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