Robust Bootstrap Forecast Densities for GARCH Models
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Documentation for package ‘RobGARCHBoot’ version 1.2.0
Help Pages
| RobGARCHBoot-package | Robust Bootstrap Forecast Densities for GARCH Models |
| fitted_Vol | Estimated Volatility |
| returnsexample | Time series returns for illustrative purposes |
| RobGARCHBoot | Robust GARCH bootstrap procedure |
| RobGARCHBootParallel | Parallel implementation of the Robust GARCH bootstrap procedure |
| ROBUSTGARCH | Robust GARCH Estimator |
| ROBUSTGARCHloss_RCPP | Loss function used in GARCH robust estimation. |