benchmark_laurent function

Laurent APARCH Benchmark

The APARCH(1,1) benchmark of Laurent (2003).

benchmark_laurent(control = nloptr_fast_options())

Arguments

• control: control arguments for the nloptr solver.

Returns

An object of class benchmark.aparch which has a as_flextable

method for nice printing of the results.

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.

References

\insertRef Laurent2004tsgarch