NEWS.md

In fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

CHANGES in fGarch VERSION 4022.90 (20232-??-??, svn r6333–r????)

• 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 iteractively 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().

CHANGES in fGarch VERSION 4022.89 (2022-11-05, from svn r6316–r6326)

• 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.

CHANGES in fGarch VERSION 4021.88 (2022-09-28, svn r6276)

• require Matrix (>= 1.5-0) to avoid problems for users who have earlier versions of Matrix on their devices (thanks to Mikael Jagan for checking for not strict enough dependency on Matrix and alerting the maintainer).

CHANGES in fGarch VERSION 4021.87 (2022-08-06, svn r6215–r6265)

NEW MAINTAINER

• Georgi N. Boshnakov

BUG FIXES

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.

Documentation

• 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.

CHANGES in fGarch VERSION 4021.86 (2022-06-23, svn r6188)

NEW MAINTAINER

• Tobias Setz

Notes

• This is a CRAN release of version 4001.1, with trivial changes in ‘DESCRIPTION’.

CHANGES in fGarch VERSION 4001.1 (2022-06-23, svn r6184–r6185)

NEW MAINTAINER

• ad interim: Martin Maechler

NEW FEATURES

• 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.

BUG FIXES

• 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>)'.

Misc

• 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().

CHANGES in fGarch, VERSION 3042.83.2 (2020-03-07, CRAN team)

Misc

• in ‘dist-norm.Rd’, removed the description of argument ..., which is not in the argument list of any function described there.

CHANGES in fGarch, VERSION 3042.83.1 (2019-01-31, CRAN team)

Misc

• 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.

CHANGES in fGarch, VERSION 3042.83 (2017-11-16, svn r...)

Misc

• Startup message removed

• Incorporate fixes by CRAN team (Brian Ripley?)

• Checks and adaptions for R 3.4.2, e.g., ‘DESCRIPTION’, ...

CHANGES in fGarch, VERSION 3010.82.1 (2016-08-14, CRAN team.)

Misc

• 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.

CHANGES in fGarch, VERSION 3010.82 (2013-04-30, svn r5509) – and earlier

ChangeLog

• Changes up to April 2013, by Yohan Chalabi, Diethelm Wuertz, Pierre Chausse and Martin Maechler are all in file ‘ChangeLog’.

fGarch documentation built on Oct. 15, 2023, 5:06 p.m.