Robust Bootstrap Forecast Densities for GARCH Models
Estimated Volatility
Robust Bootstrap Forecast Densities for GARCH Models
Robust GARCH bootstrap procedure
Parallel implementation of the Robust GARCH bootstrap procedure
Robust GARCH Estimator
Loss function used in GARCH robust estimation.
Bootstrap forecast densities for GARCH (Generalized Autoregressive Conditional Heteroskedastic) returns and volatilities using the robust residual-based bootstrap procedure of Trucios, Hotta and Ruiz (2017) <DOI:10.1080/00949655.2017.1359601>.