On The Accuracy of GARCH Estimation in R Packages
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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SGH Warsaw School of Economics, Collegium of Economic Analysis
2019-11-01
|
| Series: | Econometric Research in Finance |
| Online Access: | https://erfin.org/journal/index.php/erfin/article/view/64 |