Benchmarks and the accuracy of GARCH model estimation
| Data(s) |
2001
|
|---|---|
| Resumo |
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. |
| Formato |
text |
| Identificador |
http://centaur.reading.ac.uk/35963/1/35963.pdf Brooks, C. <http://centaur.reading.ac.uk/view/creators/90002260.html>, Burke, S. <http://centaur.reading.ac.uk/view/creators/90001626.html> and Persand, G. <http://centaur.reading.ac.uk/view/creators/90002963.html> (2001) Benchmarks and the accuracy of GARCH model estimation. International Journal of Forecasting, 17 (1). pp. 45-56. ISSN 0169-2070 doi: 10.1016/S0169-2070(00)00070-4 <http://dx.doi.org/10.1016/S0169-2070(00)00070-4> |
| Idioma(s) |
en |
| Publicador |
Elsevier |
| Relação |
http://centaur.reading.ac.uk/35963/ creatorInternal Brooks, Chris creatorInternal Burke, Simon creatorInternal Persand, Gitanjali http://dx.doi.org/10.1016/S0169-2070(00)00070-4 doi:10.1016/S0169-2070(00)00070-4 |
| Tipo |
Article PeerReviewed |