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: 2020-12-17
DOI: 10.32614/CRAN.package.RobGARCHBoot
Author: Carlos Trucios
Maintainer: Carlos Trucios <ctrucios at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README
CRAN checks: RobGARCHBoot results


Reference manual: RobGARCHBoot.pdf


Package source: RobGARCHBoot_1.2.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
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


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