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:

For applications using the robust estimator, see:

Installation

RobGARCHBoot is available on CRAN, but you can install the latest version using these commands:

install.packages(“devtools”)

devtools::install_github(“ctruciosm/RobGARCHBoot”)

Comments

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.