NEWS | R Documentation |
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'.
added computation of Value-at-Risk (VaR) and expected
shortfall (ES) for fitted GARCH and APARCH models (in-sample and in
the predict method). Just use something like 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.
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).
Georgi N. Boshnakov
We continue to use the traditional Rmetrics scheme for numbering the versions of the package as Mmmr.n, where 'M' is the current major R version at the time of submission of the package to CRAN, 'mm' is the minor one and 'r' is the revision. 'n' is the sequential number of the CRAN submission of the package. For example, this release has version 4021.87 since it was released when R 4.2.1 was current and 'n' in the previous version was 86.
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.
Tobias Setz
This is a CRAN release of version 4001.1, with trivial changes in ‘DESCRIPTION’.
ad interim: Martin Maechler
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()
.
in ‘dist-norm.Rd’, removed the description of argument
...
, 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.
Changes up to April 2013, by Yohan Chalabi, Diethelm Wuertz, Pierre Chausse and Martin Maechler are all in file ‘ChangeLog’.