Changelog
CHANGES in fGarch VERSION 4022.90 (20232-??-??, svn r6333–r????)
the
"fGARCH"
method forfitted
was returning the data, not the fitted values. Fixes issue 6789, reported by Kouhei Hashinokuchi (hakoshie).the help pages for the
"fGARCH"
methods forfitted()
andresiduals()
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
.
CHANGES in fGarch VERSION 4022.89 (2022-11-05, from svn r6316–r6326)
CRAN release: 2022-11-05
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.
CHANGES in fGarch VERSION 4021.88 (2022-09-28, svn r6276)
CRAN release: 2022-09-29
- 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)
CRAN release: 2022-08-06
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 be1/(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 forp = 0.5
returned byqsnorm(0.5)
before the fix. The result was thatpsnorm(qsnorm(0.5))
was returning 0.5, falsely giving reassurance thatqsnorm(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"
andgarchSim
. 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 4001.1 (2022-06-23, svn r6184–r6185)
NEW FEATURES
-
Packages timeSeries, timeDate and fBasics are no longer in
Depends
, but only inImports
and hence no longer automatically attached to thesearch()
path whenever fGarch is.This may require updates in your code, e.g., adding
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 fromgarchFit()
.
CHANGES in fGarch, VERSION 3010.82.1 (2016-08-14, CRAN team.)
CRAN release: 2016-08-15
Misc
in ‘NAMESPACE’, import (selectively) from utils.
changed a couple of calls to
Matrix()
from package Matrix andfastICA()
from fastICA to the fully qualified formsMatrix::Matrix()
andfastICA::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.