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robustGarch  

Robust Garch(1,1) Model
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("robustGarch", "0.4.2")



Attach the package and use:
library("robustGarch")
Maintained by
Echo Liu
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-04-28
Latest Update: 2025-04-28
Description:
A method for modeling robust generalized autoregressive conditional heteroskedasticity (Garch) (1,1) processes, providing robustness toward additive outliers instead of innovation outliers. This work is based on the methodology described by Muler and Yohai (2008) <doi:10.1016/j.jspi.2007.11.003>.
How to cite:
Echo Liu (2025). robustGarch: Robust Garch(1,1) Model. R package version 0.4.2, https://cran.r-project.org/web/packages/robustGarch. Accessed 16 Jul. 2026.
Previous versions and publish date:
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Complete documentation for robustGarch
Functions, R codes and Examples using the robustGarch R package
Full robustGarch package functions and examples
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