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) <doi:10.1080/00949655.2017.1359601>.
Version: | 1.0.0 |
Depends: | R (≥ 3.5.0) |
Imports: | Rcpp (≥ 1.0.1) |
LinkingTo: | Rcpp, RcppArmadillo |
Published: | 2019-11-04 |
Author: | Carlos Trucios |
Maintainer: | Carlos Trucios <ctrucios at gmail.com> |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: | yes |
Materials: | README |
CRAN checks: | RobGARCHBoot results |
Reference manual: | RobGARCHBoot.pdf |
Package source: | RobGARCHBoot_1.0.0.tar.gz |
Windows binaries: | r-devel: RobGARCHBoot_1.0.0.zip, r-devel-gcc8: RobGARCHBoot_1.0.0.zip, r-release: RobGARCHBoot_1.0.0.zip, r-oldrel: RobGARCHBoot_1.0.0.zip |
OS X binaries: | r-release: RobGARCHBoot_1.0.0.tgz, r-oldrel: RobGARCHBoot_1.0.0.tgz |
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