Benchmarks and the accuracy of GARCH model estimation

This paper reviews nine software packages with particular reference to thei r GARCH model estimation accuracy when judged against a respected benchmark . We consider the numerical consistency of GARCH and EGARCH estimation and forecasting. Our results have a number of implications for published resear ch and future software development. Finally, we argue that the establishmen t of benchmarks for other standard non-linear models is long overdue. (C) 2 001 International Institute of Forecasters. Published by Elsevier Science B N. All rights reserved.