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RobGARCHBoot  

Robust Bootstrap Forecast Densities for GARCH Models
View on CRAN: Click here


Download and install RobGARCHBoot package within the R console
Install from CRAN:
install.packages("RobGARCHBoot")

Install from Github:
library("remotes")
install_github("cran/RobGARCHBoot")

Install by package version:
library("remotes")
install_version("RobGARCHBoot", "1.2.0")



Attach the package and use:
library("RobGARCHBoot")
Maintained by
Carlos Trucios
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-11-04
Latest Update: 2020-12-17
Description:
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) .
How to cite:
Carlos Trucios (2019). RobGARCHBoot: Robust Bootstrap Forecast Densities for GARCH Models. R package version 1.2.0, https://cran.r-project.org/web/packages/RobGARCHBoot. Accessed 27 Oct. 2026.
Previous versions and publish date:
(2026-07-09 08:23), 1.0.0 (2019-11-04 18:30), 1.0.1 (2020-05-13 06:10), 1.1.0 (2020-11-24 16:30), 1.1.1 (2020-12-08 18:40)
Other packages that cited RobGARCHBoot R package
View RobGARCHBoot citation profile
Other R packages that RobGARCHBoot depends, imports, suggests or enhances
Complete documentation for RobGARCHBoot
Functions, R codes and Examples using the RobGARCHBoot R package
Some associated functions: ROBUSTGARCH . ROBUSTGARCHloss_RCPP . RobGARCHBoot-package . RobGARCHBoot . RobGARCHBootParallel . fitted_Vol . returnsexample . 
Some associated R codes: ROBUSTGARCH.R . RcppExports.R . RobGARCHBoot.R . RobGARCHBootParallel.R . bootstrap_replication.R .  Full RobGARCHBoot package functions and examples
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