robustGarch

robustGarch-package

robustGARCH

A method for modeling robust generalized autoregressive conditional heteroskedasticity (Garch) (1,1) processes, providing robustness toward additive outliers instead of innovation outliers. This work is based on the methodology described by Muler and Yohai (2008) <doi:10.1016/j.jspi.2007.11.003>.

Echo Liu

Robust Garch(1,1) Model

Daniel Xia

R. Douglas Martin

robustGARCH function

Maintainer: Echo Liu <a href="/link/yuhong.echo.liu%40gmail.com?package=robustGarch&version=0.4.2" data-mini-rdoc="robustGarch::yuhong.echo.liu@gmail.com">yuhong.echo.liu@gmail.com</a>
Authors:<ul>
<li>Daniel Xia <a href="/link/dxia94%40gmail.com?package=robustGarch&version=0.4.2" data-mini-rdoc="robustGarch::dxia94@gmail.com">dxia94@gmail.com</a></li>
<li>R. Douglas Martin <a href="/link/dougPCRA%40gmail.com?package=robustGarch&version=0.4.2" data-mini-rdoc="robustGarch::dougPCRA@gmail.com">dougPCRA@gmail.com</a></li>
</ul>

Author

Robust GARCH Package — robustGARCH

Maintainer: Echo Liu <a href='mailto:yuhong.echo.liu@gmail.com'>yuhong.echo.liu@gmail.com</a>
Authors:<ul>
<li>Daniel Xia <a href='mailto:dxia94@gmail.com'>dxia94@gmail.com</a></li>
<li>R. Douglas Martin <a href='mailto:dougPCRA@gmail.com'>dougPCRA@gmail.com</a></li>
</ul>

robustGARCH: Robust GARCH Package

Description

Arguments

Author

See Also