[R-SIG-Finance] MAR-ARCH

[Dirk Eddelbuettel]

Hi Ajay,

On 23 October 2007 at 19:47, Ajay Shah wrote:
| On Tue, Oct 23, 2007 at 09:50:49AM +0100, Patrick Burns wrote:
| > Comparing estimators is a good idea.  But a good comparison
| > is more complex than stated.
| 
| I'm sorry I was not clear. For starters, I was only after software
| testing. Does this code replicate the numerical values obtained for
| standard datasets with standard codes?

Well are there standard datasets and results for volatility estimation?

It's been a (longish) while since I looked closely at this, but isn't
volatility still an unobservable?  Short of a Monte Carlo study with metrics
such as the ones suggested by Pat, what do you suggest one looks at?
Realized vol?  Implied vol?  "Traded" vol from variance or vol contracts?

I'm sure there are good answers to be had for this, so let's hear them :)

Dirk

-- 
Three out of two people have difficulties with fractions.