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robustGarch

Robust Garch(1,1) Model

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>.

Versions across snapshots

VersionRepositoryFileSize
0.4.2 rolling linux/jammy R-4.5 robustGarch_0.4.2.tar.gz 75.3 KiB
0.4.2 rolling linux/noble R-4.5 robustGarch_0.4.2.tar.gz 75.2 KiB
0.4.2 rolling source/ R- robustGarch_0.4.2.tar.gz 26.7 KiB
0.4.2 latest linux/jammy R-4.5 robustGarch_0.4.2.tar.gz 75.3 KiB
0.4.2 latest linux/noble R-4.5 robustGarch_0.4.2.tar.gz 75.2 KiB
0.4.2 latest source/ R- robustGarch_0.4.2.tar.gz 26.7 KiB
0.4.2 2026-04-26 source/ R- robustGarch_0.4.2.tar.gz 26.7 KiB
0.4.2 2026-04-23 source/ R- robustGarch_0.4.2.tar.gz 26.7 KiB
0.4.2 2026-04-09 windows/windows R-4.5 robustGarch_0.4.2.zip 78.2 KiB

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