Benchmark: The Benchmark Test Suite
Function for running the rugarch benchmark suite.
ugarchbench( benchmark = c("commercial", "published") )benchmark |
The type of benchmark to run against (see details). |
Currently, 2 benchmark suites are available. The “commercial” option runs the standard GARCH, apARCH and gjrGARCH against a commercial based product and reports the results. The data for this bechmarks is “AA” in the dji30ret dataset. The “published” option is based on the published benchmark of Bollerslev and Ghysels for the standard and exponential GARCH models on the dmbp data.
Alexios Ghalanos
‘http://www.stanford.edu/~clint/bench/index.htm’
Brooks, C. 1997, GARCH Modelling in Finance: A review of the Software Options, Economic Journal, 107(443), 1271–1276.
## Not run: ugarchbench( benchmark = "published" ) ## End(Not run)
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