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- W1990384452 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." @default.
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- W1990384452 date "2001-01-01" @default.
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- W1990384452 title "Benchmarks and the accuracy of GARCH model estimation" @default.
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- W1990384452 doi "https://doi.org/10.1016/s0169-2070(00)00070-4" @default.
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