benchmark_fcp: FCP GARCH Benchmark
Description
The GARCH(1,1) FCP benchmark.
Usage
benchmark_fcp(control = nloptr_fast_options())
Value
An object of class “benchmark.fcp” which has a “as_flextable”
method for nice printing of the results.
Arguments
- control
control arguments for the nloptr solver.
Details
The benchmark of Fiorentini et al. (1996) on the Deutsche Mark British Pound
returns is based on a GARCH(1,1) model with a constant in the conditional mean
equation, and normally distributed errors.
References
Fiorentini1996tsgarch