benchmark_laurent: Laurent APARCH Benchmark
In tsgarch: Univariate GARCH Models
benchmark_laurent R Documentation
Laurent APARCH Benchmark
Description
The APARCH(1,1) benchmark of Laurent (2003).
Usage
benchmark_laurent(control = nloptr_fast_options())
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.
Value
An object of class “benchmark.aparch” which has a “as_flextable”
method for nice printing of the results.
References
\insertRefLaurent2004tsgarch
tsgarch documentation built on Oct. 12, 2024, 1:07 a.m.
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| benchmark_laurent | R Documentation |
Laurent APARCH Benchmark
Description
The APARCH(1,1) benchmark of Laurent (2003).
Usage
benchmark_laurent(control = nloptr_fast_options())
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.
Value
An object of class “benchmark.aparch” which has a “as_flextable” method for nice printing of the results.
References
\insertRefLaurent2004tsgarch
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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