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Benchmarks and the accuracy of GARCH model estimation

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  • Brooks, Chris
  • Burke, Simon P.
  • Persand, Gita

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  • Brooks, Chris & Burke, Simon P. & Persand, Gita, 2001. "Benchmarks and the accuracy of GARCH model estimation," International Journal of Forecasting, Elsevier, vol. 17(1), pages 45-56.
    • Handle: RePEc:eee:intfor:v:17:y:2001:i:1:p:45-56
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    References listed on IDEAS

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
    3. Brooks, Chris & Burke, Simon P., 1998. "Forecasting exchange rate volatility using conditional variance models selected by information criteria," Economics Letters, Elsevier, vol. 61(3), pages 273-278, December.
    4. Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
    5. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    6. Enrique Sentana, 1995. "Quadratic ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(4), pages 639-661.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
    9. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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