Benchmark

In tsgarch: Univariate GARCH Models

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

The package includes two published benchmarks, one for the GARCH(1,1) and one for the APARCH(1,1) model. Below we present the results of the former based on the benchmark of @Fiorentini1996. Note that this is not a saved benchmark, but rather estimated every time it is called. As can be seen from the values of the log relative error, this achieves a very high rate of accuracy, addressing the questions raised by @Hill2019.

library(tsgarch)
as_flextable(benchmark_fcp())

tsgarch documentation built on Oct. 12, 2024, 1:07 a.m.