added VaR and ES plots to the plot
method for fitted GARCH models.
documented with examples that argument which
of the plot method
for fitted GARCH objects can be of length greater than one.
add a link to the website created with pkgdown to file 'DESCRIPTION'.
Var(fitted_object)
,
ES(fitted_object)
or predict(fitted_object, ..., p_loss = 0.05)
.added "fGARCH"
method for stats::tsdiag
. The method produces
diagnostic plot for fitted GARCH/APARCH models and computes some
diagnostic tests. The plots can be chosen interactively and/or via
arguments. The test results are in the returned value. The method is
in development in that more plots may be made available and
additional tests included in the returned value.
refactored the "fGARCH"
method for 'summary' to return an object
from S3 class 'summary_fGARCH' equipped with a 'print' method. The
printout is the same as before, except that now the numbers in the
statistics column for the residual diagnostics are aligned on the
decimal point (previously they were left-aligned due to a buglet).
the "fGARCH"
method for fitted
was returning the data, not the
fitted values. Fixes issue 6789, reported by Kouhei Hashinokuchi
(hakoshie).
the help pages for the "fGARCH"
methods for fitted()
and
residuals()
were stating that the returned results have the same
class as the input time series. Actually, they return numeric
vectors. (todo?: to make the returned values as previously
documented, garchFit()
would need to put the original data or the
necessary information in the fitted object, e.g., object@fit$data
.
some tests were using deprecated fBasics::.distCheck()
(notice the
leading dot). Replaced such calls with the equivalent
fBasics::distCheck()
.
in absMoments
, the absolute moments for the standardized Student-t
distribution were wrong.
in README, linked to the paper by Wuertz et al.
substantially revised the documentation and filled gaps in it.
removed the functions with suffix '_orig' which were kept temporarilly after the bug fix in v4021.87 since there were no reported problems with the fix.
Fixed issue 6061 raised by William Scott, who also supplied examples.
The quantile function, qsnorm
, was wrong around 0.5. The error was
in .qsnorm
. For now its version before the fix is kept as
.qsnorm_orig
. Basically, branching was done w.r.t. p = 0.5
,
which is correct only for the symmetric case, \xi = 1
, and should
be 1/(1+\xi^2)
instead. More details in the source code. The error
was affecting the central part of the distrbution with the interval
becoming larger for \xi
further away from 1.
The cdf, psnorm
, had an error at a single point, coinciding with
the wrong value for p = 0.5
returned by qsnorm(0.5)
before the
fix. The result was that psnorm(qsnorm(0.5))
was returning 0.5,
falsely giving reassurance that qsnorm(0.5)
was correct.
Not mentioned in issue 6061 but the same problems held for the other
skewed distributions: qsstd
, psstd
, qsged
, psged
. The
original versions of the relevant internal functions are kept for
now with a suffix _orig
, as above: qsstd_orig
, psstd_orig
,
qsged_orig
, psged_orig
.
Edited the documentation of "garchSpec"
and garchSim
. It was
somewhat incomplete and contained leftovers, apparently from old
versions of the functions.
Documented the datasets. Previously the help page for them was a placeholder, without the names of the available datasets. There is no information about the time span of the data or how the returns were calculated.
Packages timeSeries,
timeDate
and fBasics
are no longer in Depends
, but only in Imports
and hence no
longer automatically attached to the search()
path whenever fGarch is.
This may require updates in your code, e.g., adding
stopifnot(require("timeSeries"))
as it has been done in our own fGarch's examples and tests.
.gogarchFit()
is at least mentioned in the documentation.
Added registration of compiled functionality for speed up and as good practice.
Removed all Depends:
entries and checked exactly which parts of
packages, notably fBasics, timeDate, and timeSeries, are needed and imported only these.
Eliminated warning about 'length > 1' character formula in
garchFit()
, i.e., .garchFit()
.
Replaced the error-prone checking for 'class()' equality by 'inherits(*, <class>)'.
Exporting practically everything seems “wrong” (according to MM):
Several .<some>
functions have no documentation and hence should
either be (renamed and) documented or no longer be exported.
a data
argument should never have a default: hence removed from
garchFit()
.
...
, which is not in the argument list of any function
described there.in ‘NAMESPACE’ and ‘R/methods-plot.R’ renamed functions
.plot.garch.1
, ..., .plot.garch.13
to .plot.garch_1
, ...,
.plot.garch_13
.
compressed datasets ‘data/dem2gbp.csv’ and ‘data/sp500dge.csv’ to ‘data/dem2gbp.csv.bz2’ ‘data/sp500dge.csv.bz2’, respectively.
Startup message removed
Incorporate fixes by CRAN team (Brian Ripley?)
Checks and adaptions for R 3.4.2, e.g., ‘DESCRIPTION’, ...
in ‘NAMESPACE’, import (selectively) from utils.
changed a couple of calls to Matrix()
from package Matrix and fastICA()
from fastICA to the fully qualified forms
Matrix::Matrix()
and fastICA::fastICA
.
removed some flag settings in ‘Makevars’.
in ‘math.f’, move a DATA
command out of
the body of an "if"
block putting it towards the beginning of the
file.
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