Bootstrap Standard Errors for GOGARCH Parameters — gogarch_bootstrap_se • tsbs

Compute bootstrap standard errors for GOGARCH component GARCH parameters using residual resampling.

Usage

gogarch_bootstrap_se(
  residuals,
  weights,
  garch_pars,
  ica_info,
  n_boot = 200,
  method = c("residual", "parametric"),
  distribution = "norm",
  verbose = TRUE,
  seed = NULL
)

Arguments

residuals: T x k matrix of observed residuals
weights: T-vector of observation weights
garch_pars: List of GARCH parameters for each component
ica_info: ICA decomposition information
n_boot: Number of bootstrap replications (default 200)
method: Bootstrap method: "residual" (recommended) or "parametric"
distribution: GARCH distribution: "norm" or "std"
verbose: Print progress
seed: Random seed for reproducibility

Value

List with bootstrap results per component