benchmark_fcp: FCP GARCH Benchmark
In tsgarch: Univariate GARCH Models
benchmark_fcp R Documentation
FCP GARCH Benchmark
Description
The GARCH(1,1) FCP benchmark.
Usage
benchmark_fcp(control = nloptr_fast_options())
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.
Value
An object of class “benchmark.fcp” which has a “as_flextable”
method for nice printing of the results.
References
\insertRefFiorentini1996tsgarch
tsgarch documentation built on Oct. 12, 2024, 1:07 a.m.
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| benchmark_fcp | R Documentation |
FCP GARCH Benchmark
Description
The GARCH(1,1) FCP benchmark.
Usage
benchmark_fcp(control = nloptr_fast_options())
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.
Value
An object of class “benchmark.fcp” which has a “as_flextable” method for nice printing of the results.
References
\insertRefFiorentini1996tsgarch
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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