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 Trucios 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 Trucios (2019).
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
