Benchmarks and the accuracy of GARCH model estimation


Autoria(s): Brooks, Chris; Burke, Simon; Persand, Gitanjali
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