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RobGARCHBoot

Robust Bootstrap Forecast Densities for GARCH Models

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>.

Versions across snapshots

VersionRepositoryFileSize
1.2.0 rolling linux/jammy R-4.5 RobGARCHBoot_1.2.0.tar.gz 94.5 KiB
1.2.0 rolling linux/noble R-4.5 RobGARCHBoot_1.2.0.tar.gz 96.0 KiB
1.2.0 rolling source/ R- RobGARCHBoot_1.2.0.tar.gz 16.0 KiB
1.2.0 latest linux/jammy R-4.5 RobGARCHBoot_1.2.0.tar.gz 94.5 KiB
1.2.0 latest linux/noble R-4.5 RobGARCHBoot_1.2.0.tar.gz 96.0 KiB
1.2.0 latest source/ R- RobGARCHBoot_1.2.0.tar.gz 16.0 KiB
1.2.0 2026-04-26 source/ R- RobGARCHBoot_1.2.0.tar.gz 16.0 KiB
1.2.0 2026-04-23 source/ R- RobGARCHBoot_1.2.0.tar.gz 16.0 KiB
1.2.0 2026-04-09 windows/windows R-4.5 RobGARCHBoot_1.2.0.zip 418.0 KiB
1.2.0 2025-04-20 source/ R- RobGARCHBoot_1.2.0.tar.gz 16.0 KiB

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