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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>.
Getting started
Browse package contents
Package details |
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| Author | Carlos Trucios |
| Maintainer | Carlos Trucios <ctrucios@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.2.0 |
| Package repository | View on CRAN |
| Installation |
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