ROBUSTGARCH: Robust GARCH Estimator
In RobGARCHBoot: Robust Bootstrap Forecast Densities for GARCH Models
Description
Usage
Arguments
Details
Value
Author(s)
References
Examples
Description
Robust GARCH (Generalized Autoregressive Conditional Heteroskedastic) estimator of Boudt et al. (2013) with the modification introduced by Trucíos et at. (2017).
Usage
1
ROBUSTGARCH(y)
Arguments
y
Vector of time series returns.
Details
More details can be found in Boudt et al. (2013) and Trucíos et at. (2017).
Value
The function returns the estimated parameters.
Author(s)
Carlos Trucíos
References
Boudt, Kris, Jon Danielsson, and Sébastien Laurent. Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting 29.2 (2013): 244-257.
Trucíos, Carlos, Luiz K. Hotta, and Esther Ruiz. Robust bootstrap forecast densities for GARCH returns and volatilities. Journal of Statistical Computation and Simulation 87.16 (2017): 3152-3174.
Examples
1
2
# Estimating the parameters of the GARCH model in a robust way.
ROBUSTGARCH(returnsexample*100)
Example output
[1] 0.2235254 0.1523450 0.7954741
RobGARCHBoot documentation built on Dec. 17, 2020, 5:07 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Details Value Author(s) References Examples
Description
Robust GARCH (Generalized Autoregressive Conditional Heteroskedastic) estimator of Boudt et al. (2013) with the modification introduced by Trucíos et at. (2017).
Usage
1 | ROBUSTGARCH(y)
|
Arguments
y |
Vector of time series returns. |
Details
More details can be found in Boudt et al. (2013) and Trucíos et at. (2017).
Value
The function returns the estimated parameters.
Author(s)
Carlos Trucíos
References
Boudt, Kris, Jon Danielsson, and Sébastien Laurent. Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting 29.2 (2013): 244-257.
Trucíos, Carlos, Luiz K. Hotta, and Esther Ruiz. Robust bootstrap forecast densities for GARCH returns and volatilities. Journal of Statistical Computation and Simulation 87.16 (2017): 3152-3174.
Examples
1 2 | # Estimating the parameters of the GARCH model in a robust way.
ROBUSTGARCH(returnsexample*100)
|
Example output
[1] 0.2235254 0.1523450 0.7954741
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.