Benchmarks and the accuracy of GARCH model estimationBrooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, 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
It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1016/S0169-2070(00)00070-4 Abstract/SummaryThis 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.
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