On The Accuracy of GARCH Estimation in R Packages

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...

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Bibliographic Details
Main Authors: B. D. McCullough, Chelsey Hill
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

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