ROBUSTGARCH {RobGARCHBoot}

Robust GARCH Estimator

Description

Robust GARCH (Generalized Autoregressive Conditional Heteroskedastic) estimator of Boudt et al. (2013) with the modification introduced by Trucíos et at. (2017).

Usage

ROBUSTGARCH(y)

Arguments

y

Vector of time series returns.

Details

More details can be found in Boudt et al. (2013) and Trucíos et at. (2017).

Value

The function returns the estimated parameters.

Author(s)

Carlos Trucíos

References

Boudt, Kris, Jon Danielsson, and Sébastien Laurent. Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting 29.2 (2013): 244-257.

Trucíos, Carlos, Luiz K. Hotta, and Esther Ruiz. Robust bootstrap forecast densities for GARCH returns and volatilities. Journal of Statistical Computation and Simulation 87.16 (2017): 3152-3174.

Examples

# Estimating the parameters of the GARCH model in a robust way.
ROBUSTGARCH(returnsexample*100)