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) .


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install.packages("RobGARCHBoot")

1.0.0 by Carlos Trucios, 13 days ago


Browse source code at https://github.com/cran/RobGARCHBoot


Authors: Carlos Trucios


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp

Linking to Rcpp, RcppArmadillo


See at CRAN