benchmark_laurent {tsgarch} | R Documentation |
Laurent APARCH Benchmark
Description
The APARCH(1,1) benchmark of Laurent (2003).
Usage
benchmark_laurent(control = nloptr_fast_options())
Arguments
control |
control arguments for the nloptr solver. |
Details
The benchmark of Laurent (2003) on the Nikkei daily log returns is based on an APARCH(1,1) model with a constant in the conditional mean equation, and normally distributed errors.
Value
An object of class “benchmark.aparch” which has a “as_flextable” method for nice printing of the results.
References
Laurent S (2004). “Analytical derivates of the APARCH model.” Computational Economics, 24, 51–57.
[Package tsgarch version 1.0.2 Index]