I am currently conducting some GARCH modelling and I am wondering about the robust standard errors, which I can obtain from
rugarch package in R. I have found a presentation and on page 25 the author says that the robust standard errors are obtained from QMLE estimation, but there is no further explanation.
My question is what is the interpretation of these robust standard errors, that is, what are they robust to? I suspect that they are robust to heteroskedasticity, but I would be grateful for some confirmation. Also, what is more common in practice, reporting the non-robust or robust version of the standard errors?
EDIT: I have found additional information on the topic here. Basically, it confirms what those errors are robust to. Thus, the question whether their use in case of GARCH modeling (on stock index returns) are justifiable?