EchoRLiu/robustGarch: Robust Garch(1,1) Model
A method for modeling robust GARCH (1,1) processes, providing robustness toward additive outliers instead of innovation outliers. This work is based on the methodology described by Muler and Yohai in 2008.
Getting started
Browse package contents
Package details |
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| Maintainer | |
| License | MIT + file LICENSE |
| Version | 0.4.0 |
| URL | https://github.com/EchoRLiu/robustGarch |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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