NEWS.md

In ph-rast/bmgarch: Bayesian Multivariate GARCH Models

bmgarch (development version)

bmgarch 2.0.0

• All stan models are rewritten to match the new rstan 2.26.0 array syntax.

bmgarch 1.1.0

• Meanstructure now also takes the VAR argument for a VAR(1) model.
• Added variational Bayes VB as a sampling algorithm option. bmgarch now takes VB and the standard MCMC argument in sampling_algorithm. VB is inherited from rstan and is still experimental - use with caution.
• Updated rstantools to facilitate rstan upgrade (according to rstan developer guide)
• standat now checks for constant vectors in data, and returns error if there's no variance (cf. discourse mc-stan)

bmgarch 1.0.1

• loo function now takes m-ahead argument for the "backward" approximation allowing one to tune the forcast to arbitrary steps ahead.

• Fixed package dependency versions.

bmgarch 1.0.0

Initial CRAN release

ph-rast/bmgarch documentation built on Nov. 4, 2024, 6:50 a.m.