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Benchmarks and the accuracy of GARCH model estimation

Brooks, C., Burke, S. and Persand, G. (2001) Benchmarks and the accuracy of GARCH model estimation. International Journal of Forecasting, 17 (1). pp. 45-56. ISSN 0169-2070

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To link to this item DOI: 10.1016/S0169-2070(00)00070-4

Abstract/Summary

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.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35963
Publisher:Elsevier

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