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
45-56
Brooks, Chris
2be5f663-66b8-43d2-903c-6f800e6e2385
Burke, Simon P.
8bb7116d-1870-484b-a619-a1f47bc16f24
Persand, Gita
d60c4b3f-fd3b-4b0a-892f-3c4eb992f15d
2001
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), .
(doi:10.1016/S0169-2070(00)00070-4).
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.
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Published date: 2001
Keywords:
GARCH, EGARCH, benchmarks, accuracy
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Local EPrints ID: 35883
URI: http://eprints.soton.ac.uk/id/eprint/35883
ISSN: 0169-2070
PURE UUID: 128848b7-f000-4c18-834f-8550c83a20d0
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Date deposited: 22 May 2006
Last modified: 15 Mar 2024 07:54
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Author:
Chris Brooks
Author:
Simon P. Burke
Author:
Gita Persand
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