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

RobGARCHBoot_1.2.0.tgz(r-4.6-x86_64)RobGARCHBoot_1.2.0.tgz(r-4.6-arm64)RobGARCHBoot_1.2.0.tgz(r-4.5-x86_64)RobGARCHBoot_1.2.0.tgz(r-4.5-arm64)
RobGARCHBoot_1.2.0.tar.gz(r-4.7-arm64)RobGARCHBoot_1.2.0.tar.gz(r-4.7-x86_64)RobGARCHBoot_1.2.0.tar.gz(r-4.6-arm64)RobGARCHBoot_1.2.0.tar.gz(r-4.6-x86_64)
RobGARCHBoot_1.2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
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 199 downloads 7 exports 9 dependencies

Last updated from:8cadb34f10. Checks:8 WARNING, 2 OK, 3 FAIL. Indexed: yes.

TargetResultTimeFilesSyslog
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linux-devel-x86_64WARNING114
source / vignettesOK155
linux-release-arm64WARNING116
linux-release-x86_64WARNING115
macos-release-arm64WARNING174
macos-release-x86_64WARNING214
macos-oldrel-arm64WARNING123
macos-oldrel-x86_64WARNING263
windows-develFAIL74
windows-releaseFAIL61
windows-oldrelFAIL58
wasm-releaseOK119

Exports:fitted_Volloglik_cDCCRobGARCHBootRobGARCHBootParallelRobust_cDCCROBUSTGARCHROBUSTGARCHloss_RCPP

Dependencies:codetoolsdigestdoParalleldoRNGforeachiteratorsRcppRcppArmadillorngtools