Benchmarks and the accuracy of GARCH model estimation

Chris Brooks; Simon Burke; Gitanjali Persand

doi:10.1016/S0169-2070(00)00070-4

Benchmarks and the accuracy of GARCH model estimation

Chris Brooks, Simon Burke, Gitanjali Persand

Research output: Contribution to journal › Article (Academic Journal) › peer-review

88 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 language	English
Pages (from-to)	45-56
Number of pages	12
Journal	International Journal of Forecasting
Volume	17
Issue number	1
DOIs	https://doi.org/10.1016/S0169-2070(00)00070-4
Publication status	Published - 2001

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title = "Benchmarks and the accuracy of GARCH model estimation",

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.",

author = "Chris Brooks and Simon Burke and Gitanjali Persand",

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AU - Burke, Simon

AU - Persand, Gitanjali

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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)

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VL - 17

SP - 45

EP - 56

JO - International Journal of Forecasting

JF - International Journal of Forecasting

IS - 1

ER -

Benchmarks and the accuracy of GARCH model estimation

Abstract

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