benchmark_laurent: Laurent APARCH Benchmark
Description
The APARCH(1,1) benchmark of Laurent (2003).
Usage
benchmark_laurent(control = nloptr_fast_options())
Value
An object of class “benchmark.aparch” which has a “as_flextable”
method for nice printing of the results.
Arguments
- control
control arguments for the nloptr solver.
Details
The benchmark of Laurent (2003) on the Nikkei daily log returns is
based on an APARCH(1,1) model with a constant in the conditional mean
equation, and normally distributed errors.
References
Laurent2004tsgarch