On The Accuracy of GARCH Estimation in R Packages

  • Chelsey Hill Department of Decision Sciences & MIS, Drexel University
  • B. D. McCullough Department of Decision Sciences & MIS, Drexel University

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.

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Published
2019-11-19
How to Cite
Hill, C., & McCullough, B. (2019). On The Accuracy of GARCH Estimation in R Packages. Econometric Research in Finance, 4(2), 133 - 156. Retrieved from https://erfin.org/journal/index.php/erfin/article/view/64