CRAN: Package RobGARCHBoot

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>.

Version: 1.2.0

Depends: R (≥ 3.6.0)

Imports: Rcpp (≥ 1.0.3), foreach, doParallel, doRNG

LinkingTo: Rcpp, RcppArmadillo

Published: 2020年12月17日

DOI: 10.32614/CRAN.package.RobGARCHBoot

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

Documentation:

Reference manual: RobGARCHBoot.html , RobGARCHBoot.pdf

Downloads:

Package source: RobGARCHBoot_1.2.0.tar.gz

Windows binaries: r-devel: RobGARCHBoot_1.2.0.zip, r-release: RobGARCHBoot_1.2.0.zip, r-oldrel: RobGARCHBoot_1.2.0.zip

macOS binaries: r-release (arm64): RobGARCHBoot_1.2.0.tgz, r-oldrel (arm64): RobGARCHBoot_1.2.0.tgz, r-release (x86_64): RobGARCHBoot_1.2.0.tgz, r-oldrel (x86_64): RobGARCHBoot_1.2.0.tgz

Old sources: RobGARCHBoot archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=RobGARCHBoot to link to this page.