Robust Bootstrap Forecast Densities for GARCH Models


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Documentation for package ‘RobGARCHBoot’ version 1.0.0

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RobGARCHBoot-package Robust Bootstrap Forecast Densities for GARCH Models
fitted_Vol Estimated Volatility
returnsexample Time series returns for illustrative purposes
RobGARCHBoot Robust GARCH bootstrap procedeure
ROBUSTGARCH Robust GARCH Estimator
ROBUSTGARCHloss_RCPP Loss function used in GARCH robust estimation.