RobGARCHBoot
Robust bootstrap forecast densities for GARCH models (Trucíos et al;
2017). This R package provides the forecast densities for returns and
volatilities which are useful to obtain forecast intervals and risk
measures. The package also provides the robust GARCH estimator of Boudt
et al. (2013) using the modification proposed by Trucíos et al. (2017).
Additionally, the robust cDCC estimator of Boudt et al. (2013) using the
modification proposed by Trucíos et al. (2018) was included.
For applications of the bootstrap procedure, see:
- Trucíos, C., Hotta, L. K., & Ruiz, E. (2017). Robust bootstrap
forecast densities for GARCH returns and volatilities. Journal of
Statistical Computation and Simulation, 87(16), 3152-3174.
- Trucíos, Carlos, Luiz K. Hotta, and Esther Ruiz. Robust bootstrap
densities for dynamic conditional correlations: implications for
portfolio selection and value-at-risk. Journal of Statistical
Computation and Simulation 88.10 (2018): 1976-2000.
- Trucíos, C. (2019). Forecasting Bitcoin risk measures: A robust
approach. International Journal of Forecasting, 35(3), 836-847.
For applications using the robust estimator, see:
- Trucíos, C. (2019). Forecasting Bitcoin risk measures: A robust
approach. International Journal of Forecasting, 35(3), 836-847.
- Trucíos, C., Hotta, L. K., and Valls, P. (2019). On the robustness
of the principal volatility components. Journal of Empirical Finance,
52(1), 201-219.
- Trucíos, C., Tiwari, A. K., & Alqahtani, F. (2020).
Value-at-Risk and Expected Shortfall in Cryptocurrencies’ Portfolio: A
Vine Copula-based Approach. Applied Economics, 52(24), 2580-2593.
Installation
RobGARCHBoot is available on CRAN, but you can install the latest
version using these commands:
install.packages(“devtools”)
devtools::install_github(“ctruciosm/RobGARCHBoot”)
In this dev version, a parallel implementation of RobGARCHBoot
function was added. The function RobGARCHBootParallel runs in parallel,
if you find any bug, let me know. Additionally, the function Robust_cDCC
used to estimate the cDCC paramaters was included.