ugarchbench: Benchmark: The Benchmark Test Suite

Description

Function for running the rugarch benchmark suite.

Usage

ugarchbench( benchmark = c("commercial", "published") )

Arguments

benchmark

The type of benchmark to run against (see details).

source

http://www.stanford.edu/~clint/bench/index.htm

Details

Currently, 2 benchmark suites are available. The commercial option runs the standard GARCH, apARCH and gjrGARCH against a commercial based product and reports the results. The data for this bechmarks is AA in the dji30ret dataset. The published option is based on the published benchmark of Bollerslev and Ghysels for the standard and exponential GARCH models on the dmbp data.

References

Brooks, C. 1997, GARCH Modelling in Finance: A review of the Software Options, Economic Journal, 107(443), 1271--1276.

Examples

Run this code

ugarchbench( benchmark = "published")

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