Model validation using Quantile Spectral Analysis and Parametric Bootstrap techniques
This pakage can be used for validating parametric time-series models. There is a demo available for checking if a GARCH(1,1) model is suitable for DAX returns via
demo("DAX")
The main method is qpBoot
and for its model
argument there are several predefined models (getGARCH()
, or getARMA()
for example).
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