On The Accuracy of GARCH Estimation in R Packages

Chelsey Hill and B McCullough
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Chelsey Hill: Department of Decision Sciences & MIS, Drexel University

Econometric Research in Finance, 2019, vol. 4, issue 2, 133-156

Abstract: The R software is commonly used in applied finance and generalized autoregressive conditionally heteroskedastic (GARCH) estimation is a staple of applied finance; many papers use R to compute GARCH estimates. While R offers three different packages that compute GARCH estimates, they are not equally accurate. We apply the FCP GARCH benchmark (Fiorentini, Calzolari and Panattoni, 1996), proposed by McCullough and Renfro (1999), which uses the Bollerslev and Ghysels (1996) daily returns data, on three R packages: fGarch, rugarch, and tseries.

Keywords: algorithms; benchmark; software accuracy; GARCH (search for similar items in EconPapers)
JEL-codes: C22 C58 C87 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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