benchmark_fcp {tsgarch}

FCP GARCH Benchmark

Description

The GARCH(1,1) FCP benchmark.

Usage

benchmark_fcp(control = nloptr_fast_options())

Arguments

control

control arguments for the nloptr solver.

Details

The benchmark of Fiorentini et al. (1996) on the Deutsche Mark British Pound returns is based on a GARCH(1,1) model with a constant in the conditional mean equation, and normally distributed errors.

Value

An object of class “benchmark.fcp” which has a “as_flextable” method for nice printing of the results.

References

Fiorentini G, Calzolari G, Panattoni L (1996). “Analytic derivatives and the computation of GARCH estimates.” Journal of Applied Econometrics, 11(4), 399–417.