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 resear...

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Bibliographic Details
Published in:International journal of forecasting 2001, Vol.17 (1), p.45-56
Main Authors: Brooks, Chris, Burke, Simon P., Persand, Gita
Format: Article
Language:English
Subjects:
Accuracy
Benchmarks
EGARCH
Forecasting
GARCH
Software packages
Stochastic models
Studies
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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.
ISSN:0169-2070
1872-8200
DOI:10.1016/S0169-2070(00)00070-4