Description Usage Arguments Details Value Author(s) References Examples
Using the robust estimated parameters of Boudt et al. (2013) with the modification introduced by Trucíos et at. (2017), we obtain the estimated volatility.
1 | fitted_Vol(theta,r)
|
theta |
Vector of robust estimated parameters obtained from ROBUSTGARCH function. |
r |
Vector of time series returns. |
More details can be found in Boudt et al. (2013) and Trucíos et at. (2017).
The function returns the estimated volatility from 1 to T+1.
Carlos Trucíos
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.
1 2 3 4 | # Using the Bitcoin daily returns, we estimate the parameter of the GARCH model in a robust way
param = ROBUSTGARCH(returnsexample)
# With the estimated parameters, we estimate the volatiltiy in a robust way
vol = fitted_Vol(param, returnsexample)
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