Robust GOGARCH Standard Errors with Edge Case Handling

High-level wrapper for GOGARCH SE computation with validation and error handling.

Usage

compute_gogarch_standard_errors_robust(
  gogarch_result,
  residuals,
  weights,
  distribution = "norm",
  method = c("hessian", "sandwich")
)

Arguments

gogarch_result

Result from estimate_garch_weighted_gogarch()

residuals

Original residuals (T x k)

weights

Observation weights

distribution

Component distribution

method

"hessian" or "sandwich"

Value

List with SE results and validity information