The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
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 |
| In views: | TimeSeries |
| CRAN checks: | robustGarch results |
| Reference manual: | robustGarch.pdf |
| 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: robustGarch_0.4.2.zip |
| 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 |
Please use the canonical form https://CRAN.R-project.org/package=robustGarch to link to this page.
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.