RobGARCHBoot: Robust Bootstrap Forecast Densities for GARCH Models

Bootstrap forecast densities for GARCH (Generalized Autoregressive Conditional Heteroskedastic) returns and volatilities using the robust residual-based bootstrap procedure of Trucios, Hotta and Ruiz (2017) <doi:10.1080/00949655.2017.1359601>.

Version: 1.0.0
Depends: R (≥ 3.5.0)
Imports: Rcpp (≥ 1.0.1)
LinkingTo: Rcpp, RcppArmadillo
Published: 2019-11-04
Author: Carlos Trucios
Maintainer: Carlos Trucios <ctrucios at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README
CRAN checks: RobGARCHBoot results

Downloads:

Reference manual: RobGARCHBoot.pdf
Package source: RobGARCHBoot_1.0.0.tar.gz
Windows binaries: r-devel: RobGARCHBoot_1.0.0.zip, r-devel-gcc8: RobGARCHBoot_1.0.0.zip, r-release: RobGARCHBoot_1.0.0.zip, r-oldrel: RobGARCHBoot_1.0.0.zip
OS X binaries: r-release: RobGARCHBoot_1.0.0.tgz, r-oldrel: RobGARCHBoot_1.0.0.tgz

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