The University of Southampton
University of Southampton Institutional Repository

Benchmarks and the Accuracy of GARCH Model Estimation

Benchmarks and the Accuracy of GARCH Model Estimation
Benchmarks and the Accuracy of GARCH Model Estimation
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.
GARCH, EGARCH, benchmarks, accuracy
0169-2070
45-56
Brooks, Chris
2be5f663-66b8-43d2-903c-6f800e6e2385
Burke, Simon P.
8bb7116d-1870-484b-a619-a1f47bc16f24
Persand, Gita
d60c4b3f-fd3b-4b0a-892f-3c4eb992f15d
Brooks, Chris
2be5f663-66b8-43d2-903c-6f800e6e2385
Burke, Simon P.
8bb7116d-1870-484b-a619-a1f47bc16f24
Persand, Gita
d60c4b3f-fd3b-4b0a-892f-3c4eb992f15d

Brooks, Chris, Burke, Simon P. and Persand, Gita (2001) Benchmarks and the Accuracy of GARCH Model Estimation. International Journal of Forecasting, 17 (1), 45-56. (doi:10.1016/S0169-2070(00)00070-4).

Record type: Article

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.

Full text not available from this repository.

More information

Published date: 2001
Keywords: GARCH, EGARCH, benchmarks, accuracy

Identifiers

Local EPrints ID: 35883
URI: https://eprints.soton.ac.uk/id/eprint/35883
ISSN: 0169-2070
PURE UUID: 128848b7-f000-4c18-834f-8550c83a20d0

Catalogue record

Date deposited: 22 May 2006
Last modified: 15 Jul 2019 19:05

Export record

Altmetrics

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of https://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×