R package RobGARCHBoot

7 Pages Posted: 23 Dec 2019

See all articles by Carlos Trucíos

Carlos Trucíos

University of Campinas (UNICAMP) - Department of Statistics

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

Trucíos Maza, Carlos César, R package RobGARCHBoot (November 4, 2019). Available at SSRN: https://ssrn.com/abstract=3483532 or http://dx.doi.org/10.2139/ssrn.3483532

Carlos César Trucíos Maza (Contact Author)

University of Campinas (UNICAMP) - Department of Statistics ( email )

Campinas, São Paulo, 13083-859
Brazil

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