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robustGarch: Robust Garch(1,1) Model

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>.

Version: 0.4.2
Depends: R (≥ 4.3.0)
Imports: Rsolnp, nloptr, rugarch, zoo, xts
Suggests: rmarkdown, testthat, PCRA
Published: 2025-04-28
DOI: 10.32614/CRAN.package.robustGarch
Author: Echo Liu [aut, cre], Daniel Xia [aut], R. Douglas Martin [aut]
Maintainer: Echo Liu <yuhong.echo.liu at gmail.com>
BugReports: https://github.com/EchoRLiu/robustGarch/issues
License: MIT + file LICENSE
URL: https://github.com/EchoRLiu/robustGarch
NeedsCompilation: no
Materials: README
CRAN checks: robustGarch results

Documentation:

Reference manual: robustGarch.pdf

Downloads:

Package source: robustGarch_0.4.2.tar.gz
Windows binaries: r-devel: robustGarch_0.4.2.zip, r-release: robustGarch_0.4.2.zip, r-oldrel: not available
macOS binaries: r-release (arm64): robustGarch_0.4.2.tgz, r-oldrel (arm64): robustGarch_0.4.2.tgz, r-release (x86_64): robustGarch_0.4.2.tgz, r-oldrel (x86_64): robustGarch_0.4.2.tgz

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.