The accuracy of asymmetric GARCH model estimation

This paper reviews eight software packages when estimating asymmetric GARCH models (from their default option). We consider the numerical consistency of GJR-GARCH, TGARCH, EGARCH and APARCH estimations with Normal and Student distributions as well as out-of-sample forecasting accuracy, using the model confidence set procedure. We show that results are clearly software-dependent for both asymmetric volatility models, especially for the t-ratios....