CRAN/E | RobGARCHBoot

RobGARCHBoot

Robust Bootstrap Forecast Densities for GARCH Models

Installation

About

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.

Key Metrics

Version 1.2.0
R ≥ 3.6.0
Published 2020-12-17 1278 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks RobGARCHBoot results

Downloads

Yesterday 0
Last 7 days 43 -33%
Last 30 days 197 -13%
Last 90 days 610 -22%
Last 365 days 2.497 -5%

Maintainer

Maintainer

Carlos Trucios

Authors

Carlos Trucios

Material

README
Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

RobGARCHBoot archive

Depends

R ≥ 3.6.0

Imports

Rcpp ≥ 1.0.3
foreach
doParallel
doRNG

LinkingTo

Rcpp
RcppArmadillo