This package provides a robust bootstrap procedure to obtain forecast densities for both return and volatilities in a GARCH context. The forecast densities are useful to obtain forecast intervals as well as to estimate risk measures such as Value-at-Risk (VaR). Additionally, we also provide the robust GARCH estimator of Boudt et al. (2013) with the modification introduced by Trucios et at. (2017). This procedure showed good finite sample properties in both Monte Carlo experiments and empirical data. For a recent implementation of this procedure see Trucios (2019).