RobGARCHBoot (version 1.2.0)

ROBUSTGARCH: Robust GARCH Estimator

Description

Robust GARCH (Generalized Autoregressive Conditional Heteroskedastic) estimator of Boudt et al. (2013) with the modification introduced by Truc<U+00ED>os et at. (2017).

Usage

ROBUSTGARCH(y)

Arguments

y

Vector of time series returns.

Value

The function returns the estimated parameters.

Details

More details can be found in Boudt et al. (2013) and Truc<U+00ED>os et at. (2017).

References

Boudt, Kris, Jon Danielsson, and S<U+00E9>bastien Laurent. Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting 29.2 (2013): 244-257.

Truc<U+00ED>os, Carlos, Luiz K. Hotta, and Esther Ruiz. Robust bootstrap forecast densities for GARCH returns and volatilities. Journal of Statistical Computation and Simulation 87.16 (2017): 3152-3174.

Examples

# NOT RUN {
# Estimating the parameters of the GARCH model in a robust way.
ROBUSTGARCH(returnsexample*100)
# }