2023-09-18 Alexios Galanos * DESCRIPTION (Version): New version is 1.5-1. * Fix to quantile function for the skewed distributions of Fernandez and Steel (qsstd, qsged, qsnorm). * Change to CITATION to now use bibentry. 2022-10-24 Alexios Galanos * DESCRIPTION (Version): New version is 1.4-9. * Fix to gig.c warning about prototype declaration. 2022-04-18 Alexios Galanos * DESCRIPTION (Version): New version is 1.4-8. * Macros fixed in C code based on changes to headers and warning from CRAN. 2022-02-04 Alexios Galanos * DESCRIPTION (Version): New version is 1.4-7. * Export of additional functions for use in rmgarch 2022-01-18 Alexios Galanos * DESCRIPTION (Version): New version is 1.4-6. * Removed nloptr dependency 2021-05-14 Alexios Galanos * DESCRIPTION (Version): New version is 1.4-5. * Patch provided by Christian Haug to properly handle the state of the random number generator (GetRNGstate/PutRNGstate calls inside of the C functions). 2020-07-14 Alexios Galanos * DESCRIPTION (Version): New version is 1.4-4. * Removed expm dependency and implmented locally in R the matrix power function (%^%). 2020-04-18 Alexios Galanos * DESCRIPTION (Version): New version is 1.4-3. * Corrected documentation on FIGARCH model expansion in vignette. 2018-11-18 Alexios Galanos * DESCRIPTION (Version): New version is 1.4-1. * Tobias Kley added as contributor. Provided patch to avoid unexpected behavior when no seed is set. 2018-01-28 Alexios Galanos * DESCRIPTION (Version): New version is 1.4-0. * Added robust score calculation to the returned uGARCHfit object to enable recreating the robust standard errors. * Fix to VaRTest (both the conditional and unconditional tests) to calculate directly in powers rather than logs to avoid problems (thanks to Kurt Hornik for report/fix). 2017-10-30 Alexios Galanos * DESCRIPTION (Version): New version is 1.3-9. * Added FIGARCH model, currently restricted to (1,d,1) because of complexity of positivity conditions (Conrad and Haag). 2017-10-01 Alexios Galanos * DESCRIPTION (Version): New version is 1.3-8. * Native routine registration fix * Removal of error on using less than 100 data points for estimation (now creates a warning) * Will not be migrating to new xts plotting. Investigating alternative avenues. 2015-07-02 Alexios Galanos * DESCRIPTION (Version): New version is 1.3-6. * Fix to plots (thanks to Eric Zivot for bug). No longer using xts for internal plots, but instead (date, series) format. This will probably change once I have time to start re-coding the plots to use functionality of the new xts plotting functions. * Fixes to pass new CRAN change of only attaching the base package. 2015-03-04 Alexios Galanos * DESCRIPTION (Version): New version is 1.3-5. * Exported and documented the mcsTest. * Added confint S4 method (same as stats S3 confint) at user's request (replaces previous confinterval naming). * Fix to iGARCH simulation (thanks to Andy Tang). * Added the reduce method to ARFIMAfit class (was previously only available for uGARCHfit class). * Added the arfimacv function for ARFIMAX time series cross-validation. * Fixes to some examples (were based on deprecated extractor methods). 2014-11-08 Alexios Galanos * DESCRIPTION (Version): New version is 1.3-4. * Added a numderiv.control argument to the ugarchfit and arfimafit functions to provide finer control on the estimation of the standard errors using numerical derivatives based on the hessian and jacobian functions in the numDeriv package. * Tweaked the standard error calculation for the robust method. * Added parallel in Depends to avoid warning on CRAN. 2014-05-22 Alexios Galanos * DESCRIPTION (Version): New version is 1.3-3. * Fix to Vlaar and Palm GoF test in case of shaped distribution (shape parameter did not get passed to cdf function during the transformation). * Fixes to vignettes. 2014-04-26 Alexios Galanos * DESCRIPTION (Version): New version is 1.3-2. * Fixed setting of bounds on ARFIMAspec object. * When setting starting or fixed parameters on a uGARCHspec or ARFIMAspec object with previously set custom bounds, these were overwritten by defaults. This is now fixed and they are propagated (but no checks yet that starting or fixed parameters are within those bounds). * Adjustment to VaRTest to avoid problems with large N. 2014-02-21 Alexios Galanos * DESCRIPTION (Version): New version is 1.3-1. * Patched to work with recent changes to Rcpp. * Changed the Q-statistics and ARCH-LM test (in the show/summary) to the weighted statistics of Fisher and Gallagher (2012). 2014-01-01 Alexios Galanos * DESCRIPTION (Version): New version is 1.3-0. * Reversed log(0) fix in VaRTest function (produced wrong answer). * Added realized GARCH (realGARCH) model of Hansen, Huang and Shek (2011), with almost complete methods. * Added new library in Imports (expm). Matrix power (%^%) required for the multi-period realGARCH forecast). * Expanded multi-methods to deal with realGARCH and mcsGARCH model. 2013-11-28 Alexios Galanos * DESCRIPTION (Version): New version is 1.2-9. * Fixed the stationarity condition of the E-GARCH model for the case when p>1, and changed default lower bound on beta to be -1. * Fix to the likelihood summation to take into account the first value of the standardized residual (was previously set to zero except for the fGARCH model). 2013-08-30 Alexios Galanos * DESCRIPTION (Version): New version is 1.2-8. * small correction to quantile function for ugarchsim/ugarchpath (resulted in error when called as there was a stray comma in the matrix size setup). Fix also to quantile method for roll (resulted in error when called). * correction to calculation of hessian after previous version removal of Rcpp code introduced an old bug. * Added SkewHyperbolic import for the use of the quantile and distribution functions in R. 2013-07-07 Alexios Galanos * DESCRIPTION (Version): New version is 1.2-7. * removed Rcpp hessian calculation code (caused memory leak), and reverted to pure R code. Timings indicate little to no increase in timing. 2013-06-22 Alexios Galanos * DESCRIPTION (Version): New version is 1.2-6. * Change defaults for switching between C and Cpp code for simulation, for faster execution (with implications for rmgarch simulation methods). * Small correction in censoring calculation of the VaR Duration Test [thanks to David Ardia]. 2013-05-26 Alexios Galanos * DESCRIPTION (Version): New version is 1.2-5. * Major cleanup of distribution code (C source and R). Most R distribution functions linked to underlying C code for speedup (affects distfit and related methods). Also reversed automatic vectorization of dpqr functions via vectorize function (created too much overhead), and implemented custom solution. * Fix to rgig C code. * Standardized residuals plot now makes use of residuals method to be consistent with other methods (previously used 'z' value from likelihood which has zeros in the initial startup values). 2013-04-24 Alexios Galanos * DESCRIPTION (Version): New version is 1.2-4. * Small fix to ugarchsim for csGARCH model. The option for using startMethod 'unconditional' did not apply to the permanent component of variance and used instead the sample based value which led to a small discrepancy between the results run against an equivalent ugarchpath formulation [ thanks to P.B ]. * Small fix to uGARCHdistribution bivariate plots when no ARMA was used. * Re-wrote the C code likelihood for the NIG to use the simplified version rather than calling the GH distribution with lambda=-0.5, slightly improving speed. * Fix to starting parameters of eGARCH model (alpha set too high causing problems when using variance targeting). * Fix to lower/upper bounds of constant (mu) parameter of arfimafit to catch cases where the mean is zero. 2013-04-12 Alexios Galanos * DESCRIPTION (Version): New version is 1.2-3. * Changed calculation of diurnal component of mcsGARCH to use the median instead of the mean for robustness purposes given the type and size of data used. Small fix in forecast function for mcsGARCH when completely out of sample forecast requested (resulted in an error). * makevars and makevars.win written using portable (backticks) representation and therefore removed GNU make requirement from DESCRIPTION. 2013-04-06 Alexios Galanos * DESCRIPTION (Version): New version is 1.2-2. * Version number bump for upload to CRAN for R-3.0.0. * Small fix to fpm (failed for some timezones-related to as.POSIXct use and internal represenation of time/dates). * Small fix to mcsGARCH model again related to timezones and use of as.POSIXct function. * Updated some of the tests in the rugarch.tests folder (and moved folder to main directory). Added the folder to the .Rinstignore file to avoid installation [suggestion of B.R.]. * Moved 'Requires' packages to 'Imports' in DESCRIPTION file and more extensive use of importFrom in NAMESPACE [suggestion of B.R.]. 2013-03-22 Alexios Galanos * DESCRIPTION (Version): New version is 1.01-6. * Added the multiplicative component GARCH (mcsGARCH) model of Engle and Sokalska (2012) for intraday GARCH modelling (takes into account the intraday seasonality component of the absolute returns). Requires regularly sampled intraday data (e.g. 1min, 5min etc). Vignette updated with model details. 2013-02-22 Alexios Galanos * DESCRIPTION (Version): New version is 1.01-5. * Added a "quantile" and "pit" method for certain objects to return the conditional quantiles and probability integral transform (cdf transformation). * Added the skdomain function/plot to graph the skewness-kurtosis authorized domain of the skewed and shaped distributions. * Added a "reduce" method to automatically zero (and exclude) non-significant parameters and re-estimate a model. 2013-02-04 Alexios Galanos * DESCRIPTION (Version): New version is 1.01-4. * Added/Exported a couple of Date/Time utility functions (move and generatefwd) for working with the returned forecast objects. Examples are in the help file. * Small fix to fixed parameter return vector in post-estimation (when both fixed parameters and variance targeting used, the coef method did not output the omega value creating problems for other methods which depended on this). * Small fix to GMMTest when skew and shape are time varying (does not affect GARCH models). Updated documentation on returned object (was outdated). * HYP likelihood now handled separately from GHYP for speed in C code (i.e. when choosing GHYP with fixed par for ghlambda of 1). 2013-01-30 Alexios Galanos * DESCRIPTION (Version): New version is 1.01-3. * Methods 'sigma' and 'fitted' are now uniformly implemented for most uGARCH classes for extracting the conditional sigma and mean from all objects. The as.data.frame method is now deprecated. In particular, for the uGARCHforecast object, these methods now return the n.ahead by (n.roll+1) matrix of conditional forecasts where the column names are the T[0] time index prior to the forecast, and the row names labelled as T+1, T+2, to T+n.ahead. The as.data.frame still remains for some objects which do not return regular exclusive time series objects (e.g. uGARCHdistribution, uGARCHroll, and uGARCHboot). * xts is now the only supported data "format" accepted by the package. Numeric, data.frame and matrix data which does not have a proper time based index is coerced into one by assuming the numerical index of the supplied data represents number of days since 1970-01-01 (the warning is turned off at present). * Removed some functions, namely ForwardDates and WeekDayDummy, since the move to xts makes them obsolete. * Removed the as.array and as.list extractor functions in the multi-function object classes (replaced by sigma and fitted). * Consolidated code on methods (using mostly 'switch' functionality), to eliminate some of the code redundancy. * Added VaRplot function for plotting the VaR exceedances. * Added VaRloss function for calculating and returning the VaR loss used in Gonzalez-Rivera, Lee, and Mishra (2004). * Fix to ugarchboot when using a uGARCHspec object with the csGARCH model. The fix allows to pass the previous permanent component of the variance (preq) in the ugarchpath method as an additional argument via the dots(...). The vignette now includes a step by step recipe of how the full bootstrap is constructed. * Turned off warning about NaN's in post-estimation numerical derivative calculation and added a note in the ugarchfit-methods explaining its purpose and how it relates to the optimal solution. * ugarchroll now also flags as a non-converged estimation windows one where the Hessian cannot be inverted (indicating a local solution). 2013-01-24 Alexios Galanos * DESCRIPTION (Version): New version is 1.01-2. * Distribution functions re-written to take advantage of vectorization (some of them were not vectorized), and where deemed appropriate, parallel evaluation (for non-analytic quantile/distribution functions e.g. qghst). This is needed in particular for another package in development. Functions ddist, qdist, pdist, rdist, dskewness and dkurtosis now take advantage of location and scaling property of standardized NIG/GH distributions for faster evaluation. * rugarch-distributions.R file housekeeping. Elimination of redundant code. * Some cleanup to plots (now return old par setup on exit). * Analytic skewness and kurtosis expressions for Fernandez and Steel's sstd distribution. * Small fix to ugarchroll resume method. 2013-01-18 Alexios Galanos * DESCRIPTION (Version): New version is 1.01-1. * Version numbering bump. * Analytic skewness and kurtosis expressions for Johnson's SU distribution. * distplot function provides skewness-kurtosis plots (surfaces) for skew-shape combinations of different distributions. * Corrected some typos in documentation/vignette [thanks to D.E]. 2013-01-15 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-16. * Fix to bug in autoarfima for method partial (convergence check failed) * Change initialization of arfima process for values < armaOrder to a constant. * Added extra M(1,2) and M(2,1) to the Hong and Li test (HLTest) report which are related to ARCH in mean and leverage effects respectively. * Fix in some methods in the presence of variance targeting. * Fix to some simulation methods when using external regressors in variance equation and unconditional choice for starting the recursion. 2012-11-30 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-14. * Removed use of custom function environments in the estimation. Passing instead an argument list between functions (resolves various problems for non-shared environments e.g. use of snow and certain solvers). * Parallel estimation now done entirely using the parallel package, given a user supplied cluster object. * ugarchroll and arfimaroll completely re-written and some functionality changed (see help files). as.uGARCHforecast and as.ARFIMAforecast methods removed, and access methods on the rolling objects simplified, as the object returns a much cleaner output. Additionally, a new method called resume will allow the resumption of rolling objects which had non-converged windows using different solver and control option combinations. All methods on objects with non-converged windows will now stop and warn. A new option window.size allows to control the amount of data used for the moving window estimation. * ugarchspec now warns on misspelled options in the specification. Exact (not partial) matching is done on the options in the variance and mean model lists [thanks to Pat Burns]. * variance.targeting option in GARCH specification now allows either logical or numeric value (in which case that is used instead of the unconditional variance of the conditional mean residuals) [user request]. * fit.control takes an extra option, 'rec.init' for the type of method used to initialize the GARCH recursion ("all" for all data, integer value >1 for using the first n points, or positive numeric value <=1 for exponential backcast method) * The GARCH bootstrap method (ugarchboot) has been re-written and enhanced to allow for sampling from both the raw residuals, kernel fitted residuals or SPD (new dependency with spd package) fitted residuals. Returned objects are also more simple to manipulate with extractor methods. * Fix to GHST distribution density. * Fix to arfima simulation initialization requirement (n.start>=MA order). * Minor code fixes * vignette updated 2012-10-30 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-13. * Fix to hybrid solver default trace argument * 2 sided Hessian now moved to C++ * Some enhancements/fixes to date identification utility for recognising date formats * Fix to external regressors in variance equation (bug when more than 2 regressors used) [thanks to Florian Ziel]. * Fix to starting and fixed parameters for high order models (>20). * Ability to set upper and lower bounds via setbounds<- function on a uGARCHspec object. * GARCH starting parameters functions cleanup/compacting. * Some fixes to show method for very high dimensional models. Also, some changes to Box Test summary and Information Criteria. * Fix to arfimadistribution function. 2012-09-30 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-12. * Added a hybrid strategy optimization method to sequentially try a list of alternative solvers in case of non-convergence. * Added optional logical argument 'standardize' (default: FALSE) to residuals method to return the standardized residuals for both the arfima and garch classes. 2012-07-09 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-11. * Added the Component GARCH model of Lee and Engle (1999) with a complete set of methods. * ugarchroll now only allows n.ahead=1 (alternative was too complicated). * Change to ugarchboot to allow simulated external regressors input separately from the forecast of the external regressors. 2012-06-30 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-10. * Fix in ugarchboot (full method) for higher GARCH and ARMA orders. * Numerous fixes to methods involving variance targeting. * Fix to egarchsim when n.sim<100 and m.sim>100 (c++ code -- brackets in wrong place!) * Fix to ugarchroll using multicore, and correct f01density slot. 2012-05-23 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-9. * Added autoarfima function to select best arfima model based on information criterion using optionally complete enumeration of the combination space for the max AR and MA orders chosen. * Fix to some .C calls to eliminate Null being passed (affected only filter method). * Fix avoid error in uncertainty functions for arfima and garch (ugarchdistribution and arfimadistribution) when using spec rather than fit. * Bounds for AR and MA increased to [-4,4] for models with orders higher than 1. * Fix in ugarchroll to include external.regressors in forecast 2012-02-03 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-8. * Turned off stationarity check during calculation of numerical derivatives to avoid boundary case problems. * Addded nloptr solver to estimation toolbox. * Added Generalized Hyperbolic Skew Student distribution ("GHST"). * Added a battery of tests including VaRTest, VaRDurTest, ESTest, GMMTest and HLTest. * Renamed BerkowitzLR to BerkowitzTest. * Updated Vignette with details on changes. * Fixed a bug when spec had include.mean = FALSE but fitting routine was still subtracting the mean. 2011-12-16 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-7. * Fix to eGARCH model in the presence of variance.targeting. * Fix to ugarchspec when external.regressors in variance equation > 1. * Vignette clarifications. * Added (experimental) archex argument in mean.model [user request]. * Added vcov and convergence extractor methods to uGARCHfit object. 2011-10-17 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-6. * '&' replaced by 'and' in some plots and summary methods for better compatibility with tikz (requested by a user). 2011-10-15 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-5. * Fix to makevars (for solaris build). * Fix to avoid multicore note on windows checks. 2011-10-12 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-4. * Added tail.test option to BerkowitzLR test. This is a likelihood ratio test based on censored normal for testing fit of the tail using the probability integral transform (PIT). * Added an example to the DACtest function (in documentation). * Fixed a bug in rolling forecast when calling ghyp functions with variable length lambda (changes to qdensity and scaledist to handle vector inputs of lambda). 2011-09-28 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-3. * Fix to starting and fixed parameters for AR coefficient. * Added a show method for uGARCHroll. * Fixed an issue with passing a data.frame object with numerical indices as rownames (affected most ugarchroll extractor methods). 2011-09-20 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-2. * More minor changes to some show methods and ugarchbench. * Changes to optimization limits for external regressors. * Bug fix in rolling forecast with arfima [thanks to John Kerpel]. 2011-09-05 Alexios Galanos * DESCRIPTION (Version): New version is 1.0-1. * Some minor changes to reduce warnings on CRAN check. * packageStartupMessage used for .onLoad * Export of GARCHfilter, uGARCHfilter, GARCHroll and uGARCHroll classes (forgot them on original release!). * Optional use of multicore will still generate warnings (since not available for Windows). * Vignette pdf is pre-built (Rnw simply links to the pdf). 2011-08-30 Alexios Galanos * DESCRIPTION (Version): New version is 1.0. * rugarch represents an almost complete re-write of the univariate GARCH models of the rgarch package which is now being split into seperate univariate (rugarch) and multivariate (rmgarch) packages for easier maintenance. * Completed Vignette. * Numerous corrections, elimination of redundant code, and some new functionality has been added. * ARFIMA simulation corrections and multiple checks. * rugarch.tests folder now contains an almost comprehensive set of examples and tests which can be run via a wrapper function found in the runtests.R file. * First upload to CRAN.