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>.

Package details

AuthorCarlos Trucios
MaintainerCarlos Trucios <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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RobGARCHBoot documentation built on Nov. 5, 2019, 1:06 a.m.