Package: RobGARCHBoot 1.2.0

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>.

Authors:Carlos Trucios

RobGARCHBoot_1.2.0.tar.gz

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RobGARCHBoot.pdf |RobGARCHBoot.html✨
RobGARCHBoot/json (API)

# Install 'RobGARCHBoot' in R:

install.packages('RobGARCHBoot', repos = c('https://ctruciosm.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/ctruciosm/robgarchboot/issues

Uses libs:

c++– GNU Standard C++ Library v3

Datasets:

returns3 - Matrix of time series returns for illustrative purposes
returnsexample - Time series returns for illustrative purposes

On CRAN:

7 exports 3 stars 0.93 score 9 dependencies 1 scripts 226 downloads

Last updated 4 years agofrom:8cadb34f10. Checks:OK: 6. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Sep 04 2024
R-4.5-linux-x86_64	OK	Sep 04 2024
R-4.4-mac-x86_64	OK	Sep 04 2024
R-4.4-mac-aarch64	OK	Sep 04 2024
R-4.3-mac-x86_64	OK	Sep 05 2024
R-4.3-mac-aarch64	OK	Sep 05 2024

Exports:fitted_Vol loglik_cDCC RobGARCHBoot RobGARCHBootParallel Robust_cDCC ROBUSTGARCH ROBUSTGARCHloss_RCPP

Dependencies:codetools digest doParallel doRNG foreach iterators Rcpp RcppArmadillo rngtools

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Robust Bootstrap Forecast Densities for GARCH Models	RobGARCHBoot-package
Estimated Volatility	fitted_Vol
Loss function used in cDCC robust estimation.	loglik_cDCC
Matrix of time series returns for illustrative purposes	returns3
Time series returns for illustrative purposes	returnsexample
Robust GARCH bootstrap procedure	RobGARCHBoot
Parallel implementation of the Robust GARCH bootstrap procedure	RobGARCHBootParallel
Robust cDCC Estimator	Robust_cDCC
Robust GARCH Estimator	ROBUSTGARCH
Loss function used in GARCH robust estimation.	ROBUSTGARCHloss_RCPP