Package: robustGarch 0.4.0

robustGarch: Robust Garch(1,1) Model

A method for modeling robust 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 in 2008.

Authors:Echo Liu [aut, cre], Daniel Xia [aut], R. Douglas Martin [aut]

robustGarch_0.4.0.tar.gz
robustGarch_0.4.0.zip(r-4.7)robustGarch_0.4.0.zip(r-4.6)robustGarch_0.4.0.zip(r-4.5)
robustGarch_0.4.0.tgz(r-4.6-any)robustGarch_0.4.0.tgz(r-4.5-any)
robustGarch_0.4.0.tar.gz(r-4.7-any)robustGarch_0.4.0.tar.gz(r-4.6-any)
robustGarch_0.4.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
robustGarch/json (API)

# Install 'robustGarch' in R:

install.packages('robustGarch', repos = c('https://echorliu.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/echorliu/robustgarch/issues

Datasets:

gspc - Daily log return of the GSPC from 2004-01-05 to 2024-08-02

On CRAN:

4.00 score 1 stars 6 scripts 265 downloads 1 exports 35 dependencies

Last updated from:04608dbc4c. Checks:9 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	OK	170
source / vignettes	OK	203
linux-release-x86_64	OK	143
macos-release-arm64	OK	171
macos-oldrel-arm64	OK	177
windows-devel	OK	81
windows-release	OK	84
windows-oldrel	OK	82
wasm-release	OK	131

Exports:robGarch

Dependencies:chron codetools digest DistributionUtils FNN fracdiff future future.apply GeneralizedHyperbolic globals kernlab KernSmooth ks lattice listenv MASS Matrix mclust mgcv multicool mvtnorm nlme nloptr numDeriv parallelly pracma Rcpp RcppArmadillo Rsolnp rugarch SkewHyperbolic spd truncnorm xts zoo

Introduction to the robustGarch package

Rendered fromrobustGarch-vignette.Rmdusingknitr::rmarkdown

Last update: 2020-08-30
Started: 2020-08-30

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Daily log return of the GSPC from 2004-01-05 to 2024-08-02	gspc
Robust GARCH(1,1) Model Estimation	robGarch
Summary for robustGARCH class	aef coef.robustGARCH plot.robustGARCH print.robustGARCH robustGARCH-summary summary.robustGARCH