robustGarch

MaRDI QIDQ7384988CRANFDO

Authors Echo Liu, Daniel Xia, R. Douglas Martin

Last update 28 April 2025

Copyright license MIT license, File License

Software version identifier 0.4.2

Description

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>.

Cites work

• Robust estimates for GARCH models

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