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:

Conda:

cpp

3.18 score 3 stars 1 scripts 225 downloads 7 exports 9 dependencies

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

TargetResultLatest binary
Doc / VignettesOKMar 03 2025
R-4.5-mac-x86_64OKMar 03 2025
R-4.5-mac-aarch64OKMar 03 2025
R-4.5-linux-x86_64OKMar 03 2025
R-4.4-mac-x86_64OKMar 03 2025
R-4.4-mac-aarch64OKMar 03 2025
R-4.3-mac-x86_64OKMar 03 2025
R-4.3-mac-aarch64OKMar 03 2025

Exports:fitted_Volloglik_cDCCRobGARCHBootRobGARCHBootParallelRobust_cDCCROBUSTGARCHROBUSTGARCHloss_RCPP

Dependencies:codetoolsdigestdoParalleldoRNGforeachiteratorsRcppRcppArmadillorngtools