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ChangeLog
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2022-03-04 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.4-0.
* Fix to gogarchspec checks for mean.model (length>1 warning flagged in
a dependent package check on CRAN).
2022-02-05 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.3-9.
* Fixes to CRAN note warnings on rugarch exports
2021-03-30 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.3-8.
* Check that the package builds with new Matrix package.
2019-01-14 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.3-6.
* Fix to fMoments class which had the wrong slot (scenario instead of moments).
2018-08-25 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.3-5.
* Clean up of xts plotting which was broken due to xts maintainer
breaking backward compatibility. Switched to zoo.
* Added extra option in rcov and rcor ('output') to enable either an array (default)
or a wide matrix/xts (when possible) for correlations and covariances. In the case
of covariances, the diagonal is also returned, whilst for correlation only the lower
diagonal.
* Added STRICT_R_HEADERS per Dirk's email (change related to PI only).
2018-02-12 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.3-4.
* Cleanup and routine registration
* Small fix .pca in rmgarch-ica.R file for not dropping dimension
when n=2 (thanks to Johannes Scheuplein for fix).
2017-06-01 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.3-3.
* Added option to use cluster on the window dimension rather than assets
in dccroll.
* Numerous minor changes to underlying functionality.
2016-09-20 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.3-2.
* gogarchsim now takes either a goGARCHfit or goGARCHfilter object. First argument
to gogarchsim (fit) replaced by 'object'. This allows better handling of the simulated
forecast density by first filtering for new data from a filtered object
and then simulating the n-ahead density.
2016-02-20 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.3-1.
* Fix to fscenario function (would not run when using dcc or cgarch).
2015-12-27 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.3-0.
* Fix to dccsim when using startMethod sample. The
wrong standardized residuals were being passed
to the simulation routine.
* Some fixes to some wrongly exported methods from other packages.
2015-07-02 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.2-9.
* Fixes to pass new CRAN checks which only attaches base now.
* Fixed bug in fscenario for gogarch model with dimensionality reduction.
2014-06-11 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.2-8.
* Removed fftw dependency
* Fix to Copula-Student Simulation.
* Added logical argument for inclusion or not of 'constant'
in varxfit function and updated related functions (filter,
forecast and sim) to take this into account [user request].
2014-03-07 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.2-7.
* Fix to multivariate Student and Laplace random number generation for
DCC simulation methods.
2014-01-26 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.2-6.
* Fix for solaris build [thanks to BDR].
2014-01-25 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.2-5.
* Patched to work with recent changes to Rcpp.
2014-01-05 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.2-4.
* Implemented very fast flattened tensor indexing for
the gogarch higher co-moment matrices using analytic
relationship for coordinates of pairs {i=j,k=l}, leading
to a 10x speed increase.
* Huge efficiency gains (memory management) from using
the klin functionality for kronecker multiplication of
the very large co-moment matrices.
* Fix to DCC estimation method for case of different univariate
specifications (reported by Suzanna Linn).
* Created and exported the betacovar, betacoskew and betacokurt
methods for higher moment CAPM beta calculation (discussed in
blog post).
* Enanced DCC based models to accept the newly released realGARCH model
from rugarch (additional argument realizedVol required).
2013-09-02 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.2-3.
* replaced estimation of Kendall's tau with cor.fk function of pcaPP
package which is very fast (affects static mvt copula).
* Added some pro-active garbage collection in the simulation code since
memory usage was building up without being released (fragmentation). Also
replaced lapply with normal loop for better memory management.
* Fix to cgarchspec and dccspec in the presence of external regressors (had
previously saved the wrong dimension).
2013-05-26 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.2-2.
* Fix to cgarchsim in presence of variance targeting in the univariate
models (exited with failure code).
* Fixes to some methods to comply with rugarch 1.2-5 (now required as minimum
version)
2013-04-25 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.2-1.
* cordist function added to visualize dynamic correlation distances.
* Fixed problem of using variance targeting in the multivariate models.
* Fixed problem in dccroll and gogarchroll not saving the correct
forecast length in the output object.
* Fix to gogarch extractor methods when using PCA dimensionality reduction
prior to ICA (estimation ok, failed on use of rcor, rcov and related methods).
* Some more functions in gogarch ported to Rcpp for speed and memory management
(related to large dimensional tensors and kronecker product).
2013-04-10 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.2-0.
* Version bump and update for use with rugarch 1.2-2 and R 3.0.0
* Some fixes to methods rcoskew and rcokurt for goGARCHroll class
(standardize option was not being passed and defaulted to TRUE). In any case
method failed (with error) because of code bug.
* Some fixes to DCC rolling plots and calcultion of moving window size
(consistent with changes in rugarch).
* Updated rmgarch.tests.
2013-02-20 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.00-4.
2013-02-09 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.00-3.
* fscenario and fmoments re-worked. Now have fitted, rcov, rcoskew and
rcokurt methods for extracting the scenario and moments.
* Some fixes to rocokurt and rcoskew with switch roll="all".
* Updated examples in rmgarch.tests folder.
2013-02-02 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.00-2.
* As in the rugarch package, xts now exclusively used. The extract methods
sigma, fitted and residuals return an xts object, whilst the extractors
rcov and rcor (which return arrays) have an attribute called 'index' which
contains the time index in order to re-construct a 2-dimensional xts object
(useful for printing pairwise correlations). The rolling forecast method has
also been re-written to return simpler xts objects (sigma and fitted) and
more informative arrays for the covariance and correlation. The optional
argument roll for denoting which rolling estimation window to return results
is now deprecated as all the rolling forecasts are returned in a much
simplified container. All 3 models (GOGARCH, CGARCH and DCC) now have a
uniform set of extractors and return a uniform type of value.
* Change to the DCC plot functions to conform to new xts output.
* Changes to the copula code to reflect the vectorization of distribution
functions in rugarch (which return vectors rather than matrices when a matrix
is input into the first argument).
* GO-GARCH extractors including rcov, rcor, rcoskew and rcokurt moved to C++
leading to very large speedup (as a result of the affine
transformation/matrix multiplications).
* Many CGARCH and DCC extractor and utility functions (e.g.'sigma' as
diag(time varying cov)) moved to C++ (RcppArmadillo) for more than 10x
speed increase.
2012-12-25 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 1.00.
* Changes to comply with new rugarch package, particularly with regards
to parallel functionality (exclusive use of parallel package), and enhancements
to rolling estimation and forecast.
* Streamline of gogarch methods and some bug fixes.
* Added FDCC model (v. 1.00-1) and rmgarch.test5 examples.
* Started on ICA to C++ translation.
2012-11-10 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 0.99.
* Some minor corrections to vignette.
* Fix to static t-copula using Kendall's tau (bug in combn in .Kendall).
2012-10-17 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 0.98.
* Fix to dccfit and dccfilter when using fGARCH models in first stage.
* Added some details in the vignette on the multi-step ahead forecast
algorithm used for the DCC model.
2012-10-03 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 0.97.
* Added a Vignette with the background/details on the models implemented.
* Added some examples online (r-forge project website).
* Small bug fix to nisurface in GO-GARCH model arising from high precision.
2012-09-31 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 0.96.
* varxfit parallel functionality implemented for expensive robust calculation
method.
* Substantial Re-Write of ICA functionality and export of ICA functions
(africa package on r-forge will not be released to CRAN and eventually
removed). Only locally implemented versions of fastica and radical are now
allowed (removed PearsonICA and JADE).
* Part of RADICAL code ported to C++ for speed.
* Added different covariance estimators for the ICA whitening routines.
* GO-GARCH model now allows to pass n.comp to ICA routine for dimensionality
reduction during the PCA whitening phase (via the ... argument in gogarchfit).
Experimental at present until some theoretical issues are resolved.
* Re-write of gogarch methods and functions.
* Some corrections to gogarchsim.
* Removed some dependencies no longer needed.
2012-05-31 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 0.95.
* Export and fix of wmargin function.
* Changes to gogarchsim to include ability to do rolling simulation
based forecast (added example rmgarch.test1j in rmgarch.tests folder).
* Some fixes to gogarch under certain lag combinations.
* Numerous bug fixes to dccsim and cgarchsim function (now correctly
generates conditional correlated random deviates for the multivariate
laplace and student distributions - new C++ functions). Added small
test rmgarch.test2h in rmgarch.tests folder).
* New function DCCtest. Implements the test of non-constant correlation of
Engle and Sheppard (2001) using a static GARCH Copula (Normal).
* Reduced verbosity in estimation (mostly related to VAR).
2012-03-16 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 0.94.
* Fix to case when using static copula.
2012-01-03 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 0.93.
* Co-Kurtosis Tensor for GO-GARCH now correct (updated rmgarch.test1-i
with small example of weighted kurtosis).
* 100x efficiency increase in intermediate storage requirement for
cokurtosis calculation by using klin.eval from klin package in kronecker
product for gogarch model.
* GARCH Scaling in DCC turned off by default.
2011-12-06 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 0.92.
* Some fixes to build and load on newer version of R.
2011-10-09 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 0.91.
* Fixed coefficient extractor method (coef) for goGARCHfit and
goGARCHfilter classes.
2011-09-20 Alexios Galanos <alexios@4dscape.com>
* DESCRIPTION (Version): New version is 0.9.
* Multivariate GARCH models split from rgarch package into rmgarch.
* Substantial re-write of multivariate code.
* Still more testing remaining and vignette will not be written until
late 2011, at which point it will be released to CRAN (the complexity and
new method definitions for the GOGARCH model with multivariate affine NIG
and GH distributions will likely make it difficult for people to use without
a vignette).