benchmark_laurent {tsgarch}

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.