R package RobGARCHBoot
7 Pages Posted: 23 Dec 2019
Date Written: November 4, 2019
Abstract
This package provides a robust bootstrap procedure to obtain forecast densities for both return and volatilities in a GARCH context. The forecast densities are useful to obtain forecast intervals as well as to estimate risk measures such as Value-at-Risk (VaR). Additionally, we also provide the robust GARCH estimator of Boudt et al. (2013) with the modification introduced by Trucíos et at. (2017). This procedure showed good finite sample properties in both Monte Carlo experiments and empirical data. For a recent implementation of this procedure see Trucíos (2019).
Keywords: Bootstrap, GARCH, Robust, Volatility
JEL Classification: C22, C53
Suggested Citation: Suggested Citation