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: | 1.0.1 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp (≥ 1.0.1) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Published: | 2020-05-13 |
| 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_1.0.1.tar.gz |
| Windows binaries: | r-devel: RobGARCHBoot_1.0.1.zip, r-release: RobGARCHBoot_1.0.1.zip, r-oldrel: RobGARCHBoot_1.0.1.zip |
| macOS binaries: | r-release: RobGARCHBoot_1.0.1.tgz, r-oldrel: RobGARCHBoot_1.0.1.tgz |
| Old sources: | RobGARCHBoot archive |
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