Author: chalabi Date: 2009-11-05 small changes in predict,fGARCH-method to correct its output when n.ahead=1 since addition of conditional errors. M pkg/fGarch/R/methods-predict.R Author: chalabi Date: 2009-09-28 updated version number M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2009-09-28 updated DESCR and ChangeLog M pkg/fGarch/ChangeLog M pkg/fGarch/DESCRIPTION Author: wuertz Date: 2009-08-21 .gogarchFit function added, show and plot adapted, NAMESPACE and DESCRIPTION updated M pkg/fGarch/DESCRIPTION M pkg/fGarch/NAMESPACE M pkg/fGarch/R/methods-plot.R M pkg/fGarch/R/methods-show.R A pkg/fGarch/R/mgarch-FitFromFormula.R Merge: 6ac0e8e ca073e3 Author: chalabi Date: 2009-08-14 Merge branch 'devel-fGarch' Author: chalabi Date: 2009-08-14 cosmetic changes in help page M pkg/fGarch/man/methods-predict.Rd Author: chalabi Date: 2009-08-14 new NAMESPACE structure which should ease maintenance of packages. M pkg/fGarch/NAMESPACE Author: Chalabi Date: 2009-06-24 updated NAMESPACE M pkg/fGarch/DESCRIPTION M pkg/fGarch/NAMESPACE Author: Chalabi Date: 2009-06-13 2*Sigma around mean of time series M pkg/fGarch/R/methods-plot.R Author: wuertz Date: 2009-05-21 working on new specification M pkg/fGarch/NAMESPACE M pkg/fGarch/R/garch-Distribution.R M pkg/fGarch/R/garch-FitFromFormula.R M pkg/fGarch/R/garch-FitFromSpec.R M pkg/fGarch/R/garch-FitInternal.R D pkg/fGarch/R/garch-LogLik.R A pkg/fGarch/R/loglik-aparch.R A pkg/fGarch/R/loglik-egarch.R A pkg/fGarch/R/loglik.R M pkg/fGarch/man/garchFit.Rd Author: wuertz Date: 2009-05-21 different recursion methods added, new method to calculate hessian added M pkg/fGarch/DESCRIPTION M pkg/fGarch/R/garch-Distribution.R M pkg/fGarch/R/garch-FitFromFormula.R M pkg/fGarch/R/garch-FitInternal.R M pkg/fGarch/R/garch-Hessian.R M pkg/fGarch/R/garch-LogLik.R M pkg/fGarch/R/garch-Solver.R M pkg/fGarch/man/garchFit.Rd Author: wuertz Date: 2009-05-21 LLH function disentangled in shorter parts M pkg/fGarch/R/garch-FitInternal.R M pkg/fGarch/R/garch-LogLik.R Author: wuertz Date: 2009-05-20 alternative garchFit interface (still hidden) now runs M pkg/fGarch/R/garch-FitFromFormula.R M pkg/fGarch/R/garch-FitFromSpec.R M pkg/fGarch/R/garch-FitInternal.R Author: wuertz Date: 2009-05-20 NAMESPACE updated M pkg/fGarch/NAMESPACE M pkg/fGarch/R/fGarchEnv.R M pkg/fGarch/R/garch-FitFromFormula.R Author: wuertz Date: 2009-05-20 R scripts disentangled and renamed D pkg/fGarch/R/garch-FitFormula.R M pkg/fGarch/R/garch-FitFromFormula.R M pkg/fGarch/R/garch-FitInternal.R Author: wuertz Date: 2009-05-20 script file renamed A pkg/fGarch/R/garch-FitFromFormula.R Author: wuertz Date: 2009-05-20 new interface for garchFit added, spec() based D pkg/fGarch/R/garch-Fit.R D pkg/fGarch/R/garch-FitControl.R A pkg/fGarch/R/garch-FitFormula.R A pkg/fGarch/R/garch-FitFromSpec.R A pkg/fGarch/R/garch-FitInternal.R A pkg/fGarch/R/garch-GlobalVars.R A pkg/fGarch/R/garch-SolverControl.R Author: wuertz Date: 2009-05-20 some smaller fixes and NAMESPACE adapted M pkg/fGarch/NAMESPACE M pkg/fGarch/R/garch-Distribution.R M pkg/fGarch/R/garch-LogLik.R Author: wuertz Date: 2009-05-20 garchLogLIk disentangled from script file garch-Fit.R M pkg/fGarch/R/garch-Fit.R A pkg/fGarch/R/garch-LogLik.R Author: wuertz Date: 2009-05-20 Initialization disentangled from garch-Fit script file M pkg/fGarch/R/garch-Distribution.R M pkg/fGarch/R/garch-Fit.R A pkg/fGarch/R/garch-Initialization.R Author: wuertz Date: 2009-05-20 script file renamed and disentangled A pkg/fGarch/R/dist-sged.R A pkg/fGarch/R/dist-snig.R A pkg/fGarch/R/dist-snorm.R A pkg/fGarch/R/dist-sstd.R A pkg/fGarch/R/garch-Distribution.R A pkg/fGarch/R/garch-Fit.R A pkg/fGarch/R/garch-FitControl.R A pkg/fGarch/R/garch-Gradient.R A pkg/fGarch/R/garch-Hessian.R A pkg/fGarch/R/garch-Sim.R A pkg/fGarch/R/garch-Solver.R A pkg/fGarch/R/garch-Spec.R A pkg/fGarch/R/garch-Stats.R D pkg/fGarch/R/garchFit.R D pkg/fGarch/R/garchFitControl.R D pkg/fGarch/R/garchGradient.R D pkg/fGarch/R/garchHessian.R D pkg/fGarch/R/garchSim.R D pkg/fGarch/R/garchSolver.R D pkg/fGarch/R/garchSpec.R D pkg/fGarch/R/garchStats.R D pkg/fGarch/R/sged.R D pkg/fGarch/R/snorm.R D pkg/fGarch/R/sstd.R Author: chaussep Date: 2009-05-15 added a plot option to predict and adapted the manual M pkg/fGarch/R/methods-predict.R M pkg/fGarch/man/methods-predict.Rd Author: chalabi Date: 2009-05-15 added Pierre Chausse in DESC file for contribution M pkg/fGarch/DESCRIPTION Author: chaussep Date: 2009-05-14 Just changed the definition of mu. It is the intercept, not the mean M pkg/fGarch/R/garchSim.R M pkg/fGarch/man/garchSim.Rd Author: chaussep Date: 2009-05-14 Added conditional errors to predict and updated nthe manual M pkg/fGarch/R/methods-predict.R M pkg/fGarch/man/methods-predict.Rd Author: chalabi Date: 2009-04-19 added explicit version number in Depends field for key packages M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2009-04-02 more explicit depends and suggests field in DESC file. M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2009-04-01 updated DESC file M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2009-01-30 M pkg/fGarch/R/garchSpec.R Author: chalabi Date: 2009-01-28 updated version number M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2009-01-28 changed version number to match version on CRAN + 1 M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2009-01-12 added update method for fGARCH and fGARCHSPEC object M pkg/fGarch/NAMESPACE A pkg/fGarch/R/methods-update.R M pkg/fGarch/man/class-fGARCH.Rd M pkg/fGarch/man/class-fGARCHSPEC.Rd Author: chalabi Date: 2009-01-07 fixed conditional distribution thanks to comments of Michal Miklovic. M pkg/fGarch/src/dist.f Author: wuertz Date: 2008-12-14 snig plot added M pkg/fGarch/R/methods-plot.R Author: wuertz Date: 2008-12-14 zzz.R fGarch Library modified, I think we dont need this file at all, we have a namespace M pkg/fGarch/R/zzz.R Author: wuertz Date: 2008-12-14 Standardized NIG as cond.dist added M pkg/fGarch/DESCRIPTION M pkg/fGarch/NAMESPACE M pkg/fGarch/R/fGarchEnv.R M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchHessian.R M pkg/fGarch/R/garchSolver.R M pkg/fGarch/R/garchStats.R M pkg/fGarch/R/zzz.R M pkg/fGarch/man/garchFit.Rd M pkg/fGarch/man/garchSim.Rd M pkg/fGarch/man/sged.Rd M pkg/fGarch/man/snorm.Rd Author: chalabi Date: 2008-10-27 updated RUnit test files to make it run on Mac OS X M pkg/fGarch/inst/unitTests/runTests.R Author: chalabi Date: 2008-10-27 updated version number M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2008-10-24 updated version number M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2008-10-24 fixed code/documentation mismatches M pkg/fGarch/man/methods-residuals.Rd Author: chalabi Date: 2008-10-10 updated DESC files M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2008-09-26 fixed QQ-plot when cond.dist == 'QMLE' M pkg/fGarch/R/methods-plot.R Author: chalabi Date: 2008-09-26 input data were wrongly scaled at the end of function M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-09-25 checking all packages before sending to CRAN - fBasics & fPortfolio need further work M pkg/fGarch/NAMESPACE M pkg/fGarch/inst/unitTests/runit.garchFit.algorithm.R M pkg/fGarch/inst/unitTests/runit.garchSolver.R Author: chalabi Date: 2008-09-24 M pkg/fGarch/DESCRIPTION M pkg/fGarch/R/fGarchEnv.R M pkg/fGarch/R/garchFit.R A pkg/fGarch/R/garchGradient.R M pkg/fGarch/R/garchHessian.R D pkg/fGarch/R/garchOxFit.R M pkg/fGarch/R/garchSolver.R M pkg/fGarch/R/methods-show.R M pkg/fGarch/R/methods-summary.R M pkg/fGarch/R/zzz.R M pkg/fGarch/inst/unitTests/Makefile M pkg/fGarch/inst/unitTests/runit.garchFit.algorithm.R M pkg/fGarch/inst/unitTests/runit.garchSolver.R M pkg/fGarch/man/garchFit.Rd D pkg/fGarch/man/garchOxFit.Rd M pkg/fGarch/man/methods-summary.Rd M pkg/fGarch/man/methods-volatility.Rd A pkg/fGarch/src/Makevars A pkg/fGarch/src/dist.f A pkg/fGarch/src/llhGarch.f A pkg/fGarch/src/math.f Author: chalabi Date: 2008-08-21 M pkg/fGarch/DESCRIPTION M pkg/fGarch/NAMESPACE M pkg/fGarch/R/fGarchEnv.R M pkg/fGarch/R/garchFit.R A pkg/fGarch/man/data.Rd M pkg/fGarch/man/garchFit.Rd Author: chalabi Date: 2008-08-19 M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-08-18 M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-08-16 A pkg/fGarch/data/dem2gbp.csv A pkg/fGarch/data/sp500dge.csv Author: chalabi Date: 2008-08-16 M pkg/fGarch/DESCRIPTION M pkg/fGarch/NAMESPACE M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchHessian.R M pkg/fGarch/R/garchSolver.R M pkg/fGarch/R/zzz.R M pkg/fGarch/inst/unitTests/runit.garchSolver.R D pkg/fGarch/src/Makevars D pkg/fGarch/src/garchHessian.f D pkg/fGarch/src/nlminbGarchA.f D pkg/fGarch/src/nlminbGarchB.f D pkg/fGarch/src/sqpGarchA.f D pkg/fGarch/src/sqpGarchB.f Author: chalabi Date: 2008-08-04 fixed typo M pkg/fGarch/R/garchOxFit.R Author: chalabi Date: 2008-08-04 global env needed for NAMESPACE M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-08-04 M pkg/fGarch/inst/unitTests/runit.garchFit.R M pkg/fGarch/inst/unitTests/runit.garchFit.faked.R Author: chalabi Date: 2008-08-04 fixed problem with R-devel M pkg/fGarch/R/methods-volatility.R Author: chalabi Date: 2008-08-04 M pkg/fGarch/NAMESPACE Author: chalabi Date: 2008-07-23 global env in fGarch - needed because of NAMESPACE A pkg/fGarch/R/fGarchEnv.R Author: chalabi Date: 2008-07-23 more NAMESPACE files A pkg/fGarch/NAMESPACE Author: chalabi Date: 2008-07-23 some modification to work with NAMESPACE M pkg/fGarch/DESCRIPTION M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchHessian.R M pkg/fGarch/R/sstd.R M pkg/fGarch/R/zzz.R M pkg/fGarch/src/nlminbGarchA.f M pkg/fGarch/src/sqpGarchA.f Author: chalabi Date: 2008-07-18 use of timeSeries and timeDate M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2008-06-11 pkgs adapted to new timeSeries pkg M pkg/fGarch/DESCRIPTION M pkg/fGarch/inst/unitTests/Makefile M pkg/fGarch/inst/unitTests/runTests.R M pkg/fGarch/inst/unitTests/runit.formula-methods.R M pkg/fGarch/inst/unitTests/runit.garchFit.R M pkg/fGarch/inst/unitTests/runit.garchFit.algorithm.R M pkg/fGarch/inst/unitTests/runit.garchFit.aparch.R M pkg/fGarch/inst/unitTests/runit.garchFit.faked.R M pkg/fGarch/inst/unitTests/runit.garchFit.garch.R M pkg/fGarch/inst/unitTests/runit.garchFit.init.R D pkg/fGarch/inst/unitTests/runit.garchOxInterface.R M pkg/fGarch/inst/unitTests/runit.garchSolver.R M pkg/fGarch/man/methods-formula.Rd Author: chalabi Date: 2008-06-03 added THANKS file A pkg/fGarch/inst/THANKS Author: chalabi Date: 2008-05-27 updated DESCR file M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2008-05-13 updated DESCRIPTION files M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2008-05-09 added description of 'extention' argument in help page of garchSim M pkg/fGarch/man/garchSim.Rd Author: chalabi Date: 2008-05-08 *** empty log message *** M pkg/fGarch/R/methods-plot.R Author: chalabi Date: 2008-05-06 as pointed out by Michal, there was a problem in .plot.garch.13 michal miklovic I was wondering why qq plots for my models with cond.dist = std suggest that standardised residuals have thinner tails than the student distribution with the estimated shape parameter. Then, I found a possible bug in .plot.garch.13, M pkg/fGarch/R/methods-plot.R Author: chalabi Date: 2008-04-22 changed depends section in DESCRIPTION files M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2008-04-22 changed manual page to old version and exported new content to a User Guide M pkg/fGarch/man/garchFit.Rd Author: chalabi Date: 2008-04-22 remove ox folder in inst D pkg/fGarch/inst/ox/GarchOxModelling.ox D pkg/fGarch/inst/ox/GarchOxModelling30.ox Author: chalabi Date: 2008-04-21 changed warning message M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-04-02 bug fixed thanks to Michal Miklovic: Hi, I wanted to estimate a garch-gjr model without leverage (which is, in fact, a garch model) using the following code: arma11gjr11n <- garchFit(~ arma(1,1) + aparch(1,1), data, delta=2, include.delta=FALSE, leverage=FALSE, algorithm="nlminb", hessian="rcd") summary(arma11gjr11n) and obtained the following error: --- START OF TRACE --- R coded nlminb Solver: Error in gamma[i] : object is not subsettable I would suggest to copy the below line from .garchInitParameters into .garchLLH: if(p > 0 & !leverage) gamma = rep(0, times = p) I tried this, recompiled the fGarch package and it worked fine. Best regards, Michal Miklovic M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-03-25 changed deprecated functions with new ones M pkg/fGarch/man/garchSim.Rd M pkg/fGarch/man/methods-formula.Rd Author: chalabi Date: 2008-03-17 changed charvec of simulated time series M pkg/fGarch/R/garchSim.R Author: chalabi Date: 2008-03-08 all functions in fGarch returns a timeSeries. changed slot data of GARCHSPEC to numeric M pkg/fGarch/R/class-fGARCH.R M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchSim.R M pkg/fGarch/R/methods-fitted.R M pkg/fGarch/R/methods-plot.R M pkg/fGarch/R/methods-predict.R M pkg/fGarch/R/methods-residuals.R M pkg/fGarch/R/methods-show.R M pkg/fGarch/R/methods-summary.R M pkg/fGarch/R/methods-volatility.R M pkg/fGarch/inst/unitTests/runit.garchFit.R M pkg/fGarch/inst/unitTests/runit.garchFit.faked.R M pkg/fGarch/man/garchFit.Rd M pkg/fGarch/man/garchSim.Rd M pkg/fGarch/man/methods-coef.Rd Author: chalabi Date: 2008-03-08 *** empty log message *** M pkg/fGarch/inst/unitTests/runit.formula-methods.R Author: chalabi Date: 2008-03-01 M pkg/fGarch/R/garchSpec.R M pkg/fGarch/R/methods-show.R M pkg/fGarch/man/garchSpec.Rd Author: chalabi Date: 2008-03-01 *** empty log message *** M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-02-29 garchFit can now handle APARCH/GARCH(p,q) when q = 0 and give an error message for p = 0. M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-02-25 removed garchOx interface M pkg/fGarch/R/garchOxFit.R M pkg/fGarch/man/00fGarch-package.Rd M pkg/fGarch/man/garchOxFit.Rd Author: chalabi Date: 2008-02-25 *** empty log message *** M pkg/fGarch/man/00fGarch-package.Rd Author: chalabi Date: 2008-02-25 *** empty log message *** M pkg/fGarch/man/00fGarch-package.Rd Author: chalabi Date: 2008-02-25 *** empty log message *** M pkg/fGarch/man/00fGarch-package.Rd Author: wuertz Date: 2008-02-22 D pkg/fGarch/man/class-fGarch.Rd Author: wuertz Date: 2008-02-22 D pkg/fGarch/man/class-fGARCHx.Rd Author: wuertz Date: 2008-02-22 misprints removed M pkg/fGarch/man/class-fGARCH.Rd Author: wuertz Date: 2008-02-22 sorry didnt take care on lower and upper case A pkg/fGarch/man/class-fGARCH.Rd Author: wuertz Date: 2008-02-22 A pkg/fGarch/man/class-fGARCHx.Rd Author: wuertz Date: 2008-02-22 file fGARCH-class.Rd renamed to class-fGARCH.Rd, same for fGARCHSPEC A pkg/fGarch/man/class-fGARCHSPEC.Rd A pkg/fGarch/man/class-fGarch.Rd D pkg/fGarch/man/fGARCH-class.Rd D pkg/fGarch/man/fGARCHSPEC-class.Rd Author: chalabi Date: 2008-02-20 "h = c(rev(spec@presample[, 2]), rep(NA, times = n)) That is, the second column in presample should not be raised to the power of delta because it is conditional variance and not conditional sigma as I inferred from the garchSpec function." michal miklovic M pkg/fGarch/R/garchSim.R Author: chalabi Date: 2008-02-19 M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchSim.R M pkg/fGarch/R/methods-predict.R A pkg/fGarch/man/00fGarch-package.Rd D pkg/fGarch/man/fGarch-package.Rd M pkg/fGarch/man/garchFit.Rd Author: chalabi Date: 2008-02-15 *** empty log message *** M pkg/fGarch/man/garchFit.Rd Author: chalabi Date: 2008-02-14 A pkg/fGarch/man/methods-formula.Rd D pkg/fGarch/man/methods-forumla.Rd Author: chalabi Date: 2008-02-14 D pkg/fGarch/man/coef-methods.Rd D pkg/fGarch/man/fitted-methods.Rd D pkg/fGarch/man/formula-methods.Rd A pkg/fGarch/man/methods-coef.Rd A pkg/fGarch/man/methods-fitted.Rd A pkg/fGarch/man/methods-forumla.Rd A pkg/fGarch/man/methods-plot.Rd A pkg/fGarch/man/methods-predict.Rd A pkg/fGarch/man/methods-residuals.Rd A pkg/fGarch/man/methods-show.Rd A pkg/fGarch/man/methods-summary.Rd A pkg/fGarch/man/methods-volatility.Rd D pkg/fGarch/man/plot-methods.Rd D pkg/fGarch/man/predict-methods.Rd D pkg/fGarch/man/residuals-methods.Rd D pkg/fGarch/man/show-methods.Rd D pkg/fGarch/man/summary-methods.Rd D pkg/fGarch/man/volatility-methods.Rd Author: chalabi Date: 2008-02-12 corrected typo in man page M pkg/fGarch/man/garchFit.Rd Author: chalabi Date: 2008-02-12 changed name of file to be sure defined classes are loaded before their methods A pkg/fGarch/R/class-fGARCH.R A pkg/fGarch/R/class-fGARCHSPEC.R D pkg/fGarch/R/coef-methods.R D pkg/fGarch/R/fGARCH-class.R D pkg/fGarch/R/fGARCHSPEC-class.R D pkg/fGarch/R/fitted-methods.R D pkg/fGarch/R/formula-methods.R A pkg/fGarch/R/methods-coef.R A pkg/fGarch/R/methods-fitted.R A pkg/fGarch/R/methods-formula.R A pkg/fGarch/R/methods-plot.R A pkg/fGarch/R/methods-predict.R A pkg/fGarch/R/methods-residuals.R A pkg/fGarch/R/methods-show.R A pkg/fGarch/R/methods-summary.R A pkg/fGarch/R/methods-volatility.R D pkg/fGarch/R/plot-methods.R D pkg/fGarch/R/predict-methods.R D pkg/fGarch/R/residuals-methods.R D pkg/fGarch/R/show-methods.R D pkg/fGarch/R/summary-methods.R D pkg/fGarch/R/volatility-methods.R Author: chalabi Date: 2008-02-12 garchLLH now returns the non normalized LLH M pkg/fGarch/src/nlminbGarchA.f M pkg/fGarch/src/sqpGarchA.f Author: chalabi Date: 2008-02-12 fixed trace argument when optim is called M pkg/fGarch/R/garchSolver.R Author: chalabi Date: 2008-02-12 fixed some formating M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-02-12 fixed some formating M pkg/fGarch/R/garchSolver.R Author: chalabi Date: 2008-02-12 trace argument was not in control list when nlminb function is called M pkg/fGarch/R/garchSolver.R Author: chalabi Date: 2008-02-12 removed garchfhess subroutine. Acutally it was there only for some testing M pkg/fGarch/src/garchHessian.f Author: chalabi Date: 2008-02-12 fixed small bugs in normalized log likelihood and in printing Call function M pkg/fGarch/R/summary-methods.R Author: chalabi Date: 2008-02-12 make .plot.garch.10&11 work with zoo time series M pkg/fGarch/R/plot-methods.R Author: chalabi Date: 2008-02-12 default hessian approximation calculation is now cda because fda seems to have problems in some cases M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-02-12 calculate explicitly the diagonal element in garchhess subroutine. added garchfhess subroutine for test purpose M pkg/fGarch/src/garchHessian.f Author: chalabi Date: 2008-02-08 changed version number of packages M pkg/fGarch/DESCRIPTION Author: chalabi Date: 2008-02-07 change License sectino in DESCRIPTION to the canonical License : GPL (>=2) M pkg/fGarch/DESCRIPTION Author: wuertz Date: 2008-02-06 zzz output shortened M pkg/fGarch/R/zzz.R Author: chalabi Date: 2008-02-03 r.s = object@residuals/sqrt(object@h.t) is wrong for aparch models, in which it does not hold that sigma = h^(1/2). The correct expression that holds in general is: sigma = h^(1/delta) M pkg/fGarch/R/summary-methods.R Author: chalabi Date: 2008-02-03 sigma.t were calculated as (.series$h)^deltainv, where deltainv = 1/fit$params$delta. However, fit$params$delta does not get updated with coefficient estimates and thus is always equal to 2. This leads to wrong calculation of sigma.t when delta is included in the optimisation. M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-01-29 removed /STAT/ common block M pkg/fGarch/src/sqpGarchA.f Author: chalabi Date: 2008-01-29 * - added IMPLICIT NONE statement in all subroutines and functions * - removed common block /STAT/ and added array STAT as an argument in * subroutines : * VARIABLES IN ARRAY STAT (STATISTICS) : * IO STAT(1) NRES NUMBER OF RESTARTS. * IO STAT(2) NDEC NUMBER OF MATRIX DECOMPOSITION. * IO STAT(3) NREM NUMBER OF CONSTRAINT DELETIONS. * IO STAT(4) NADD NUMBER OF CONSTRAINT ADDITIONS. * IO STAT(5) NIT NUMBER OF ITERATIONS. * IO STAT(6) NFV NUMBER OF FUNCTION EVALUATIONS. * IO STAT(7) NFG NUMBER OF GRADIENT EVALUATIONS. * IO STAT(8) NFH NUMBER OF HESSIAN EVALUATIONS. M pkg/fGarch/src/sqpGarchB.f Author: chalabi Date: 2008-01-29 changed name of common block /STAT/ M pkg/fGarch/src/sqpGarchA.f Author: chalabi Date: 2008-01-29 allow interrupts from R in sqp routine M pkg/fGarch/src/sqpGarchB.f Author: chalabi Date: 2008-01-28 M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchSolver.R M pkg/fGarch/src/sqpGarchA.f M pkg/fGarch/src/sqpGarchB.f Author: chalabi Date: 2008-01-28 removed print statements M pkg/fGarch/src/sqpGarchB.f Author: chalabi Date: 2008-01-28 changes to make sqp work under linux M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchSolver.R Author: chalabi Date: 2008-01-28 sqp is now running under Linux! M pkg/fGarch/src/sqpGarchA.f M pkg/fGarch/src/sqpGarchB.f Author: chalabi Date: 2008-01-25 installRmetrics.R : script to install Rmetrics packages from source and its dependencies. M pkg/fGarch/src/Makevars Author: chalabi Date: 2008-01-22 fixed typo in error message M pkg/fGarch/R/garchFit.R Author: wuertz Date: 2008-01-15 mnfb added to the argument list of garchFit() M pkg/fGarch/R/garchFit.R M pkg/fGarch/man/garchFit.Rd Author: chalabi Date: 2008-01-15 *** empty log message *** M pkg/fGarch/src/nlminbGarchA.f Author: chalabi Date: 2008-01-15 bug when calling function DBLEPR to print results of the optimization. changed argument P to NF. M pkg/fGarch/src/nlminbGarchA.f Author: chalabi Date: 2008-01-15 .Fortran was calling the wrong subroutine, M pkg/fGarch/R/garchSolver.R Author: wuertz Date: 2008-01-14 using garchfit for garchfit2 Fortran code M pkg/fGarch/R/garchSolver.R Author: wuertz Date: 2008-01-14 new unit tests added A pkg/fGarch/inst/unitTests/runit.garchHessian.R A pkg/fGarch/inst/unitTests/runit.garchSolver.R Author: wuertz Date: 2008-01-14 garchSolver.R added A pkg/fGarch/R/garchSolver.R Author: wuertz Date: 2008-01-14 hessian argument added M pkg/fGarch/R/garchFit.R Author: wuertz Date: 2008-01-14 garchFit hessian argument added M pkg/fGarch/man/garchFit.Rd Author: wuertz Date: 2008-01-14 Hessian modified M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchHessian.R Author: wuertz Date: 2008-01-14 source reference added M pkg/fGarch/R/garchHessian.R Author: wuertz Date: 2008-01-14 misprint removed M pkg/fGarch/R/garchFit.R Author: wuertz Date: 2008-01-14 GarchHessian added A pkg/fGarch/R/garchHessian.R Author: wuertz Date: 2008-01-14 nlminb full Fortran version added D pkg/fGarch/src/GarchModellingA.f D pkg/fGarch/src/GarchModellingB.f D pkg/fGarch/src/GarchModellingC.f A pkg/fGarch/src/garchHessian.f A pkg/fGarch/src/sqpGarchA.f A pkg/fGarch/src/sqpGarchB.f Author: wuertz Date: 2008-01-14 FDA Hessian implemented M pkg/fGarch/src/GarchModellingC.f Author: wuertz Date: 2008-01-13 algorithm="NLMINB" full fortran version added! M pkg/fGarch/R/garchFit.R Author: wuertz Date: 2008-01-13 full nlminb fortran implemented, now speeds up by a factor of about 20! M pkg/fGarch/src/GarchModellingC.f M pkg/fGarch/src/Makevars A pkg/fGarch/src/nlminbGarchA.f A pkg/fGarch/src/nlminbGarchB.f Author: wuertz Date: 2008-01-11 Rdonlp2 added as suggested M pkg/fGarch/DESCRIPTION Author: wuertz Date: 2008-01-11 Internally donlp2 added, not yet documented M pkg/fGarch/R/garchFit.R Author: chalabi Date: 2008-01-09 fixed bug when testing class of original data M pkg/fGarch/R/volatility-methods.R Author: chalabi Date: 2008-01-08 fixed typo M pkg/fGarch/R/residuals-methods.R Author: chalabi Date: 2008-01-08 changed argument "standardize" of residual() function to proper value fixed title of graph from selection 11 (added "Squared") M pkg/fGarch/R/plot-methods.R Author: chalabi Date: 2008-01-08 added \dontrun{} for specific examples which create an error M pkg/fGarch/man/formula-methods.Rd Author: chalabi Date: 2008-01-08 removed \dontrun{} M pkg/fGarch/man/sged.Rd Author: chalabi Date: 2008-01-08 removed \dontrun{} M pkg/fGarch/man/formula-methods.Rd Author: chalabi Date: 2008-01-08 removed \dontrun{} M pkg/fGarch/man/garchSim.Rd Author: chalabi Date: 2008-01-08 removed \dontrun{} M pkg/fGarch/man/snorm.Rd Author: chalabi Date: 2008-01-08 removed \dontrun{} M pkg/fGarch/man/garchSpec.Rd Author: wuertz Date: 2008-01-07 plot methods fixed for faked formula and data input M pkg/fGarch/R/plot-methods.R Author: wuertz Date: 2008-01-07 plot methods for faked formulas and data fixed M pkg/fGarch/inst/unitTests/runit.plot-methods.R Author: wuertz Date: 2008-01-07 faked models fixed A pkg/fGarch/inst/unitTests/runit.garchFit.faked.R M pkg/fGarch/inst/unitTests/runit.plot-methods.R Author: wuertz Date: 2008-01-07 faked formula and fake data input fixed M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/show-methods.R M pkg/fGarch/man/coef-methods.Rd Author: wuertz Date: 2008-01-07 S3 -> S4 continued M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchStats.R M pkg/fGarch/R/plot-methods.R M pkg/fGarch/man/garchFit.Rd M pkg/fGarch/man/garchSpec.Rd M pkg/fGarch/man/plot-methods.Rd Author: wuertz Date: 2008-01-07 further unit tests added M pkg/fGarch/inst/unitTests/runit.formula-methods.R M pkg/fGarch/inst/unitTests/runit.garch-methods.R M pkg/fGarch/inst/unitTests/runit.garchFit.R A pkg/fGarch/inst/unitTests/runit.garchFit.algorithm.R A pkg/fGarch/inst/unitTests/runit.garchFit.aparch.R A pkg/fGarch/inst/unitTests/runit.garchFit.dist.R A pkg/fGarch/inst/unitTests/runit.garchFit.garch.R A pkg/fGarch/inst/unitTests/runit.garchFit.init.R M pkg/fGarch/inst/unitTests/runit.garchSim.R M pkg/fGarch/inst/unitTests/runit.garchSpec.R M pkg/fGarch/inst/unitTests/runit.plot-methods.R M pkg/fGarch/inst/unitTests/runit.predict-methods.R M pkg/fGarch/inst/unitTests/runit.sged.R M pkg/fGarch/inst/unitTests/runit.snorm.R M pkg/fGarch/inst/unitTests/runit.sstd.R Author: wuertz Date: 2008-01-05 examples added and tested, opt control added D pkg/fGarch/R/GarchOxInterface.R M pkg/fGarch/R/coef-methods.R M pkg/fGarch/R/fitted-methods.R M pkg/fGarch/R/formula-methods.R M pkg/fGarch/R/garchFit.R A pkg/fGarch/R/garchFitControl.R A pkg/fGarch/R/garchOxFit.R M pkg/fGarch/R/garchSim.R M pkg/fGarch/R/garchSpec.R M pkg/fGarch/R/predict-methods.R M pkg/fGarch/R/residuals-methods.R M pkg/fGarch/R/show-methods.R M pkg/fGarch/R/volatility-methods.R D pkg/fGarch/man/GarchOxInterface.Rd M pkg/fGarch/man/coef-methods.Rd M pkg/fGarch/man/fitted-methods.Rd M pkg/fGarch/man/formula-methods.Rd M pkg/fGarch/man/garchFit.Rd A pkg/fGarch/man/garchFitControl.Rd A pkg/fGarch/man/garchOxFit.Rd M pkg/fGarch/man/garchSim.Rd M pkg/fGarch/man/garchSpec.Rd M pkg/fGarch/man/plot-methods.Rd M pkg/fGarch/man/predict-methods.Rd M pkg/fGarch/man/residuals-methods.Rd M pkg/fGarch/man/sged.Rd M pkg/fGarch/man/show-methods.Rd M pkg/fGarch/man/snorm.Rd M pkg/fGarch/man/sstd.Rd M pkg/fGarch/man/summary-methods.Rd M pkg/fGarch/man/volatility-methods.Rd Author: wuertz Date: 2008-01-04 misprint removed M pkg/fGarch/man/predict-methods.Rd Author: wuertz Date: 2008-01-04 examples added and modified M pkg/fGarch/R/show-methods.R M pkg/fGarch/R/summary-methods.R M pkg/fGarch/man/garchSim.Rd M pkg/fGarch/man/plot-methods.Rd M pkg/fGarch/man/predict-methods.Rd M pkg/fGarch/man/residuals-methods.Rd M pkg/fGarch/man/sged.Rd M pkg/fGarch/man/show-methods.Rd Author: wuertz Date: 2008-01-04 unit tests extended and minor modifications M pkg/fGarch/R/fGARCH-class.R M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/sged.R M pkg/fGarch/R/snorm.R M pkg/fGarch/R/sstd.R A pkg/fGarch/inst/unitTests/runit.formula-methods.R M pkg/fGarch/inst/unitTests/runit.garch-methods.R M pkg/fGarch/inst/unitTests/runit.garchFit.R M pkg/fGarch/inst/unitTests/runit.plot-methods.R M pkg/fGarch/inst/unitTests/runit.predict-methods.R M pkg/fGarch/inst/unitTests/runit.sged.R M pkg/fGarch/inst/unitTests/runit.snorm.R M pkg/fGarch/inst/unitTests/runit.sstd.R M pkg/fGarch/man/coef-methods.Rd M pkg/fGarch/man/fGARCH-class.Rd M pkg/fGarch/man/fitted-methods.Rd M pkg/fGarch/man/formula-methods.Rd M pkg/fGarch/man/garchSim.Rd M pkg/fGarch/man/garchSpec.Rd M pkg/fGarch/man/plot-methods.Rd M pkg/fGarch/man/predict-methods.Rd M pkg/fGarch/man/residuals-methods.Rd M pkg/fGarch/man/sged.Rd M pkg/fGarch/man/show-methods.Rd M pkg/fGarch/man/snorm.Rd M pkg/fGarch/man/summary-methods.Rd M pkg/fGarch/man/volatility-methods.Rd Author: wuertz Date: 2008-01-03 unit tests renamed A pkg/fGarch/inst/unitTests/runit.garch-methods.R A pkg/fGarch/inst/unitTests/runit.garchFit.R A pkg/fGarch/inst/unitTests/runit.garchOxInterface.R A pkg/fGarch/inst/unitTests/runit.garchSim.R A pkg/fGarch/inst/unitTests/runit.garchSpec.R A pkg/fGarch/inst/unitTests/runit.plot-methods.R A pkg/fGarch/inst/unitTests/runit.predict-methods.R A pkg/fGarch/inst/unitTests/runit.sged.R A pkg/fGarch/inst/unitTests/runit.snorm.R A pkg/fGarch/inst/unitTests/runit.sstd.R D pkg/fGarch/inst/unitTests/runitGED.R D pkg/fGarch/inst/unitTests/runitGallery.R D pkg/fGarch/inst/unitTests/runitGarchFit.R D pkg/fGarch/inst/unitTests/runitGarchMethods.R D pkg/fGarch/inst/unitTests/runitGarchSim.R D pkg/fGarch/inst/unitTests/runitGarchSpec.R D pkg/fGarch/inst/unitTests/runitNorm.R D pkg/fGarch/inst/unitTests/runitOxInterface.R D pkg/fGarch/inst/unitTests/runitPredict-Methods.R D pkg/fGarch/inst/unitTests/runitStudent.R Author: wuertz Date: 2008-01-03 runit files extended M pkg/fGarch/inst/unitTests/runitGallery.R M pkg/fGarch/inst/unitTests/runitGarchSim.R M pkg/fGarch/inst/unitTests/runitGarchSpec.R Author: wuertz Date: 2007-12-30 more unit tests D pkg/fGarch/inst/unitTests/runitDistributions.R D pkg/fGarch/inst/unitTests/runitGarchForecasting.R D pkg/fGarch/inst/unitTests/runitGarchModelling.R D pkg/fGarch/inst/unitTests/runitGarchSimulation.R M pkg/fGarch/inst/unitTests/runitNorm.R Author: wuertz Date: 2007-12-29 RunitDistribution test disentangled A pkg/fGarch/inst/unitTests/runitGED.R A pkg/fGarch/inst/unitTests/runitNorm.R A pkg/fGarch/inst/unitTests/runitStudent.R Author: wuertz Date: 2007-12-29 runit Test files renamed A pkg/fGarch/inst/unitTests/runitGarchFit.R A pkg/fGarch/inst/unitTests/runitGarchSim.R A pkg/fGarch/inst/unitTests/runitPredict-Methods.R Author: wuertz Date: 2007-12-29 coef-methods updated, but still warnings M pkg/fGarch/man/coef-methods.Rd Author: wuertz Date: 2007-12-29 fGARCHSPEC updated A pkg/fGarch/R/fGarch-package.R M pkg/fGarch/R/garchSpec.R M pkg/fGarch/R/show-methods.R Author: wuertz Date: 2007-12-29 garchSpec replaced by fGARCHSPEC A pkg/fGarch/R/fGARCHSPEC-class.R M pkg/fGarch/R/garchSim.R M pkg/fGarch/R/garchSpec.R M pkg/fGarch/man/fGARCH-class.Rd A pkg/fGarch/man/fGARCHSPEC-class.Rd M pkg/fGarch/man/garchFit.Rd M pkg/fGarch/man/garchSpec.Rd M pkg/fGarch/man/show-methods.Rd Author: wuertz Date: 2007-12-29 S3 to S4, continued M pkg/fGarch/man/coef-methods.Rd M pkg/fGarch/man/fGARCH-class.Rd M pkg/fGarch/man/fitted-methods.Rd M pkg/fGarch/man/formula-methods.Rd M pkg/fGarch/man/predict-methods.Rd M pkg/fGarch/man/residuals-methods.Rd M pkg/fGarch/man/show-methods.Rd M pkg/fGarch/man/summary-methods.Rd M pkg/fGarch/man/volatility-methods.Rd Author: wuertz Date: 2007-12-29 fGARCH-class.Rd corrected M pkg/fGarch/man/fGARCH-class.Rd Author: wuertz Date: 2007-12-29 fGARCH-class misprint removed M pkg/fGarch/man/fGARCH-class.Rd Author: wuertz Date: 2007-12-29 fGARCH-class.Rd code beautified M pkg/fGarch/man/fGARCH-class.Rd Author: wuertz Date: 2007-12-29 fGARCH-class descriotion enhanced M pkg/fGarch/R/fGARCH-class.R Author: wuertz Date: 2007-12-29 predict.Rd moved D pkg/fGarch/man/predict.Rd Author: wuertz Date: 2007-12-29 predict to predict-methods.Rd A pkg/fGarch/man/predict-methods.Rd Author: wuertz Date: 2007-12-29 more S3 to S4 M pkg/fGarch/R/fitted-methods.R M pkg/fGarch/R/formula-methods.R M pkg/fGarch/R/predict-methods.R M pkg/fGarch/R/residuals-methods.R M pkg/fGarch/R/volatility-methods.R M pkg/fGarch/man/fitted-methods.Rd M pkg/fGarch/man/formula-methods.Rd M pkg/fGarch/man/predict.Rd M pkg/fGarch/man/residuals-methods.Rd M pkg/fGarch/man/volatility-methods.Rd Author: wuertz Date: 2007-12-29 files renamed in xxx-methods.R and xxx-methods.Rd A pkg/fGarch/R/coef-methods.R D pkg/fGarch/R/coef.R A pkg/fGarch/R/fitted-methods.R D pkg/fGarch/R/fitted.R A pkg/fGarch/R/formula-methods.R D pkg/fGarch/R/formula.R A pkg/fGarch/R/predict-methods.R D pkg/fGarch/R/predict.R A pkg/fGarch/R/residuals-methods.R D pkg/fGarch/R/residuals.R A pkg/fGarch/R/volatility-methods.R D pkg/fGarch/R/volatility.R A pkg/fGarch/man/coef-methods.Rd D pkg/fGarch/man/coef.Rd A pkg/fGarch/man/fGARCH-class.Rd A pkg/fGarch/man/fitted-methods.Rd D pkg/fGarch/man/fitted.Rd A pkg/fGarch/man/formula-methods.Rd D pkg/fGarch/man/formula.Rd A pkg/fGarch/man/residuals-methods.Rd D pkg/fGarch/man/residuals.Rd A pkg/fGarch/man/volatility-methods.Rd D pkg/fGarch/man/volatility.Rd Author: wuertz Date: 2007-12-29 moving from S3 to S4 methods M pkg/fGarch/R/coef.R M pkg/fGarch/R/fitted.R M pkg/fGarch/R/formula.R M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchSim.R M pkg/fGarch/R/garchSpec.R M pkg/fGarch/R/garchStats.R M pkg/fGarch/R/plot-methods.R M pkg/fGarch/R/predict.R D pkg/fGarch/R/print.R M pkg/fGarch/R/residuals.R M pkg/fGarch/R/sged.R M pkg/fGarch/R/show-methods.R M pkg/fGarch/R/snorm.R M pkg/fGarch/R/sstd.R M pkg/fGarch/R/summary-methods.R M pkg/fGarch/inst/unitTests/runitGarchModelling.R M pkg/fGarch/man/coef.Rd M pkg/fGarch/man/plot-methods.Rd M pkg/fGarch/man/show-methods.Rd M pkg/fGarch/man/summary-methods.Rd Author: wuertz Date: 2007-12-28 xxx-methods.Rd added D pkg/fGarch/man/GarchReports.Rd A pkg/fGarch/man/plot-methods.Rd A pkg/fGarch/man/show-methods.Rd A pkg/fGarch/man/summary-methods.Rd Author: wuertz Date: 2007-12-28 update GarchReports.Rd M pkg/fGarch/man/GarchReports.Rd Author: wuertz Date: 2007-12-28 xxx-method scripts added A pkg/fGarch/R/fGARCH-class.R A pkg/fGarch/R/plot-methods.R A pkg/fGarch/R/show-methods.R A pkg/fGarch/R/summary-methods.R Author: wuertz Date: 2007-12-28 print.R updated M pkg/fGarch/R/print.R Author: wuertz Date: 2007-12-28 garchReport.R moved to print.R D pkg/fGarch/R/garchReport.R Author: wuertz Date: 2007-12-28 garchReport.R renamed in print.R A pkg/fGarch/R/print.R Author: wuertz Date: 2007-12-28 summary made S4 M pkg/fGarch/R/garchReport.R Author: wuertz Date: 2007-12-28 several minor updates M pkg/fGarch/R/formula.R M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/predict.R M pkg/fGarch/man/GarchOxInterface.Rd M pkg/fGarch/man/absMoments.Rd M pkg/fGarch/man/fGarch-package.Rd M pkg/fGarch/man/formula.Rd M pkg/fGarch/man/garchFit.Rd Author: wuertz Date: 2007-12-28 formula method and examples added M pkg/fGarch/man/coef.Rd M pkg/fGarch/man/fitted.Rd A pkg/fGarch/man/formula.Rd M pkg/fGarch/man/residuals.Rd M pkg/fGarch/man/volatility.Rd Author: wuertz Date: 2007-12-28 formula method added A pkg/fGarch/R/formula.R M pkg/fGarch/R/garchReport.R M pkg/fGarch/R/garchStats.R Author: wuertz Date: 2007-12-28 misprint in residuals.Rd removed M pkg/fGarch/R/residuals.R Author: wuertz Date: 2007-12-28 methods extended for zoo, ts time series objects M pkg/fGarch/R/fitted.R M pkg/fGarch/R/residuals.R M pkg/fGarch/R/volatility.R Author: wuertz Date: 2007-12-28 fGarch-package.Rd added A pkg/fGarch/man/fGarch-package.Rd Author: wuertz Date: 2007-12-28 sstd.Rd misprints removed M pkg/fGarch/man/sstd.Rd Author: wuertz Date: 2007-12-26 DESCRIPTION file updated M pkg/fGarch/DESCRIPTION Author: wuertz Date: 2007-12-26 cond dist Sliders added and distFit disentangled D pkg/fGarch/R/distFit.R M pkg/fGarch/R/sged.R M pkg/fGarch/R/snorm.R M pkg/fGarch/R/sstd.R M pkg/fGarch/man/sged.Rd M pkg/fGarch/man/snorm.Rd M pkg/fGarch/man/sstd.Rd Author: wuertz Date: 2007-12-26 distFit disentangled M pkg/fGarch/R/distFit.R Author: wuertz Date: 2007-12-26 absMoments and snorm modified M pkg/fGarch/man/absMoments.Rd M pkg/fGarch/man/snorm.Rd Author: wuertz Date: 2007-12-26 garchPredict removed D pkg/fGarch/R/garchPredict.R Author: wuertz Date: 2007-12-26 garchPredict renamed to predict A pkg/fGarch/R/predict.R Author: wuertz Date: 2007-12-26 absMoments updated M pkg/fGarch/R/absMoments.R Author: wuertz Date: 2007-12-26 volatility.R and coef.R added A pkg/fGarch/R/coef.R A pkg/fGarch/R/volatility.R Author: wuertz Date: 2007-12-26 GarchDistributions disentangled and removed D pkg/fGarch/man/GarchDistributions.Rd Author: wuertz Date: 2007-12-26 absMoments.Rd added A pkg/fGarch/man/absMoments.Rd Author: wuertz Date: 2007-12-26 garchDistribution.R file entangled M pkg/fGarch/man/sged.Rd A pkg/fGarch/man/snorm.Rd A pkg/fGarch/man/sstd.Rd Author: wuertz Date: 2007-12-26 sged disentangled M pkg/fGarch/man/garchFit.Rd A pkg/fGarch/man/sged.Rd Author: wuertz Date: 2007-12-26 coef.Rd misprints removed M pkg/fGarch/man/coef.Rd Author: wuertz Date: 2007-12-26 date 2007 -> 2008 changed M pkg/fGarch/R/GarchOxInterface.R M pkg/fGarch/R/absMoments.R M pkg/fGarch/R/distFit.R M pkg/fGarch/R/fitted.R D pkg/fGarch/R/garchExtractors.R M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchPredict.R M pkg/fGarch/R/garchReport.R M pkg/fGarch/R/garchSim.R M pkg/fGarch/R/garchSpec.R M pkg/fGarch/R/garchStats.R M pkg/fGarch/R/residuals.R M pkg/fGarch/R/sged.R M pkg/fGarch/R/snorm.R M pkg/fGarch/R/sstd.R M pkg/fGarch/R/zzz.R M pkg/fGarch/inst/unitTests/runitDistributions.R M pkg/fGarch/inst/unitTests/runitGallery.R M pkg/fGarch/inst/unitTests/runitGarchForecasting.R M pkg/fGarch/inst/unitTests/runitGarchMethods.R M pkg/fGarch/inst/unitTests/runitGarchModelling.R M pkg/fGarch/inst/unitTests/runitGarchSimulation.R M pkg/fGarch/inst/unitTests/runitGarchSpec.R M pkg/fGarch/inst/unitTests/runitOxInterface.R D pkg/fGarch/man/GarchPredictor.Rd M pkg/fGarch/man/GarchReports.Rd M pkg/fGarch/man/coef.Rd M pkg/fGarch/man/garchFit.Rd Author: wuertz Date: 2007-12-26 garchPredictor.Rd renamed in predict.Rd A pkg/fGarch/man/predict.Rd Author: wuertz Date: 2007-12-26 several updates in help pages D pkg/fGarch/man/GarchExtractors.Rd M pkg/fGarch/man/GarchPredictor.Rd A pkg/fGarch/man/coef.Rd M pkg/fGarch/man/garchFit.Rd M pkg/fGarch/man/volatility.Rd Author: wuertz Date: 2007-12-25 misprint removed M pkg/fGarch/man/residuals.Rd Author: wuertz Date: 2007-12-25 notes added to residuals.Rd M pkg/fGarch/man/residuals.Rd Author: wuertz Date: 2007-12-25 updated residuals, fitted and volatility Rd's A pkg/fGarch/man/fitted.Rd M pkg/fGarch/man/garchFit.Rd A pkg/fGarch/man/residuals.Rd A pkg/fGarch/man/volatility.Rd Author: wuertz Date: 2007-12-25 GarchExtractors disentangled M pkg/fGarch/man/GarchExtractors.Rd Author: wuertz Date: 2007-12-25 volatility added to GarchExtractors.Rd M pkg/fGarch/man/GarchExtractors.Rd Author: wuertz Date: 2007-12-25 disentangled methods fitted and resiudals updated M pkg/fGarch/R/fitted.R M pkg/fGarch/R/residuals.R Author: wuertz Date: 2007-12-25 garchExtractor disentangled A pkg/fGarch/R/fitted.R A pkg/fGarch/R/residuals.R Author: wuertz Date: 2007-12-25 fitted and residuals methods now can return timeSeries objects M pkg/fGarch/R/garchExtractors.R Author: wuertz Date: 2007-12-25 garchFit, garchSim and garchSpec renaming scripts D pkg/fGarch/man/GarchFitting.Rd D pkg/fGarch/man/GarchSimulation.Rd D pkg/fGarch/man/GarchSpecification.Rd Author: wuertz Date: 2007-12-25 small update in garchFit.RD M pkg/fGarch/man/garchFit.Rd Author: wuertz Date: 2007-12-25 smaller updates in garchSpec, garchSim, and garchFit M pkg/fGarch/R/garchFit.R M pkg/fGarch/R/garchSim.R M pkg/fGarch/R/garchSpec.R Author: wuertz Date: 2007-12-25 manual pages in garchFit, garchSim and garchSpec renamed A pkg/fGarch/man/garchFit.Rd A pkg/fGarch/man/garchSim.Rd A pkg/fGarch/man/garchSpec.Rd Author: wuertz Date: 2007-12-25 man page garchSimulation and garchFitting updated M pkg/fGarch/man/GarchFitting.Rd M pkg/fGarch/man/GarchSimulation.Rd Author: boudt Date: 2007-12-04 M pkg/fGarch/R/garchFit.R Author: wuertz Date: 2007-11-13 runit Tests added A pkg/fGarch/inst/unitTests/runitGallery.R Author: wuertz Date: 2007-10-08 R files untangled D pkg/fGarch/R/GarchDistributions.R D pkg/fGarch/R/GarchMethods.R D pkg/fGarch/R/GarchSpecs.R A pkg/fGarch/R/absMoments.R A pkg/fGarch/R/distFit.R A pkg/fGarch/R/garchReport.R A pkg/fGarch/R/garchSpec.R A pkg/fGarch/R/sged.R A pkg/fGarch/R/snorm.R A pkg/fGarch/R/sstd.R Author: wuertz Date: 2007-10-08 garch file untangled D pkg/fGarch/R/GarchForecasting.R M pkg/fGarch/R/GarchMethods.R D pkg/fGarch/R/GarchModelling.R D pkg/fGarch/R/GarchSimulation.R D pkg/fGarch/R/GarchSpec.R A pkg/fGarch/R/GarchSpecs.R A pkg/fGarch/R/garchExtractors.R A pkg/fGarch/R/garchFit.R A pkg/fGarch/R/garchPredict.R A pkg/fGarch/R/garchSim.R A pkg/fGarch/R/garchStats.R Author: wuertz Date: 2007-10-03 Version numbers DESCRIPTION file updateDescription.sh M pkg/fGarch/DESCRIPTION Author: wuertz Date: 2007-10-01 Version Numbers updated M pkg/fGarch/DESCRIPTION M pkg/fGarch/inst/unitTests/runitGarchModelling.R Author: wuertz Date: 2007-09-30 Unit Tests added and smaller modifications M pkg/fGarch/R/GarchModelling.R M pkg/fGarch/inst/unitTests/runitGarchModelling.R M pkg/fGarch/inst/unitTests/runitGarchSimulation.R Author: wuertz Date: 2007-09-11 SQP Makevars added A pkg/fGarch/src/Makevars Author: wuertz Date: 2007-09-11 sqp code added A pkg/fGarch/src/GarchModellingA.f A pkg/fGarch/src/GarchModellingB.f A pkg/fGarch/src/GarchModellingC.f Author: wuertz Date: 2007-09-11 help pages dis-entangled A pkg/fGarch/man/GarchExtractors.Rd A pkg/fGarch/man/GarchFitting.Rd D pkg/fGarch/man/GarchModelling.Rd A pkg/fGarch/man/GarchPredictor.Rd A pkg/fGarch/man/GarchReports.Rd A pkg/fGarch/man/GarchSimulation.Rd A pkg/fGarch/man/GarchSpecification.Rd Author: wuertz Date: 2007-09-10 unit tests fixed modified SQP re-added M pkg/fGarch/R/GarchMethods.R M pkg/fGarch/R/GarchModelling.R M pkg/fGarch/R/zzz.R M pkg/fGarch/inst/unitTests/runitGarchModelling.R M pkg/fGarch/man/GarchModelling.Rd Author: wuertz Date: 2007-09-09 unit tests fixed M pkg/fGarch/R/GarchMethods.R M pkg/fGarch/inst/unitTests/runitGarchMethods.R Author: wuertz Date: 2007-09-08 in inst missing doc dirs and in unitTests missing makefiles added M pkg/fGarch/inst/unitTests/runitDistributions.R Author: wuertz Date: 2007-09-07 minor changes in the DESCRIPTION files M pkg/fGarch/DESCRIPTION Author: wuertz Date: 2007-09-07 a link which has nothing to do here D pkg/fGarch/unitTests.lnk Author: wuertz Date: 2007-09-06 fGarch unit tests renamed A pkg/fGarch/inst/unitTests/runitDistributions.R D pkg/fGarch/inst/unitTests/runitDistributionsTest.R A pkg/fGarch/inst/unitTests/runitGarchSpec.R D pkg/fGarch/inst/unitTests/runitGarchSpecTest.R Author: wuertz Date: 2007-09-06 fGarch unit tests renamed D pkg/fGarch/inst/unitTests/DistributionsTest.R D pkg/fGarch/inst/unitTests/GarchForecastingTest.R D pkg/fGarch/inst/unitTests/GarchMethodsTest.R D pkg/fGarch/inst/unitTests/GarchModellingTest.R D pkg/fGarch/inst/unitTests/GarchSimulationTest.R D pkg/fGarch/inst/unitTests/GarchSpecTest.R D pkg/fGarch/inst/unitTests/OxInterfaceTest.R A pkg/fGarch/inst/unitTests/runitDistributionsTest.R A pkg/fGarch/inst/unitTests/runitGarchForecasting.R A pkg/fGarch/inst/unitTests/runitGarchMethods.R A pkg/fGarch/inst/unitTests/runitGarchModelling.R A pkg/fGarch/inst/unitTests/runitGarchSimulation.R A pkg/fGarch/inst/unitTests/runitGarchSpecTest.R A pkg/fGarch/inst/unitTests/runitOxInterface.R Author: wuertz Date: 2007-09-05 Class representation moved M pkg/fGarch/R/GarchMethods.R M pkg/fGarch/R/GarchModelling.R Author: wuertz Date: 2007-09-05 OX Path changed M pkg/fGarch/R/GarchOxInterface.R Author: wuertz Date: 2007-09-05 codoc mismatch removed M pkg/fGarch/man/GarchModelling.Rd Author: wuertz Date: 2007-09-05 R and Rd script names modified D pkg/fGarch/R/2A-GarchDistributions.R D pkg/fGarch/R/4A-GarchSpec.R D pkg/fGarch/R/4B-GarchSimulation.R D pkg/fGarch/R/4C-GarchModelling.R D pkg/fGarch/R/4D-GarchMethods.R D pkg/fGarch/R/4E-GarchForecasting.R D pkg/fGarch/R/6A-GarchOxInterface.R A pkg/fGarch/R/GarchDistributions.R A pkg/fGarch/R/GarchForecasting.R A pkg/fGarch/R/GarchMethods.R A pkg/fGarch/R/GarchModelling.R A pkg/fGarch/R/GarchOxInterface.R A pkg/fGarch/R/GarchSimulation.R A pkg/fGarch/R/GarchSpec.R D pkg/fGarch/man/2A-GarchDistributions.Rd D pkg/fGarch/man/4C-GarchModelling.Rd D pkg/fGarch/man/6A-GarchOxInterface.Rd A pkg/fGarch/man/GarchDistributions.Rd A pkg/fGarch/man/GarchModelling.Rd A pkg/fGarch/man/GarchOxInterface.Rd Author: wuertz Date: 2007-09-05 email changed in all DESCRIPTIONs M pkg/fGarch/DESCRIPTION Author: wuertz Date: 2007-09-04 M pkg/fGarch/DESCRIPTION Author: wuertz Date: 2007-09-04 M pkg/fGarch/R/4C-GarchModelling.R M pkg/fGarch/R/zzz.R M pkg/fGarch/inst/unitTests/GarchModellingTest.R Author: wuertz Date: 2007-09-04 M pkg/fGarch/R/4C-GarchModelling.R M pkg/fGarch/inst/unitTests/GarchModellingTest.R D pkg/fGarch/src/GarchModellingA.f D pkg/fGarch/src/GarchModellingB.f D pkg/fGarch/src/GarchModellingC.f D pkg/fGarch/src/Makevars D pkg/fGarch/src/fGarch.dll D pkg/fGarch/src/fGarch_res.rc Author: wuertz Date: 2007-09-04 M pkg/fGarch/R/4C-GarchModelling.R Author: wuertz Date: 2007-09-04 M pkg/fGarch/R/4D-GarchMethods.R Author: wuertz Date: 2007-09-04 M pkg/fGarch/inst/unitTests/GarchModellingTest.R Author: wuertz Date: 2007-09-04 M pkg/fGarch/R/4C-GarchModelling.R Author: wuertz Date: 2007-09-04 M pkg/fGarch/inst/unitTests/DistributionsTest.R Author: wuertz Date: 2007-09-04 M pkg/fGarch/inst/unitTests/GarchForecastingTest.R M pkg/fGarch/inst/unitTests/GarchMethodsTest.R M pkg/fGarch/inst/unitTests/GarchModellingTest.R M pkg/fGarch/inst/unitTests/GarchSimulationTest.R M pkg/fGarch/inst/unitTests/GarchSpecTest.R D pkg/fGarch/inst/unitTests/runit4C.R Author: wuertz Date: 2007-09-04 A pkg/fGarch/inst/unitTests/DistributionsTest.R A pkg/fGarch/inst/unitTests/GarchForecastingTest.R A pkg/fGarch/inst/unitTests/GarchMethodsTest.R A pkg/fGarch/inst/unitTests/GarchModellingTest.R D pkg/fGarch/inst/unitTests/GarchOxInterfaceTest.R A pkg/fGarch/inst/unitTests/GarchSimulationTest.R A pkg/fGarch/inst/unitTests/GarchSpecTest.R A pkg/fGarch/inst/unitTests/OxInterfaceTest.R D pkg/fGarch/inst/unitTests/runit4A.R Author: wuertz Date: 2007-09-04 A pkg/fGarch/inst/unitTests/GarchOxInterfaceTest.R Author: wuertz Date: 2007-09-04 D pkg/fGarch/inst/unitTests/garchOxInterfaceTest.R Author: wuertz Date: 2007-09-04 A pkg/fGarch/inst/unitTests/garchOxInterfaceTest.R Author: wuertz Date: 2007-09-04 D pkg/fGarch/inst/unitTests/runit4D.R Author: wuertz Date: 2007-09-04 M pkg/fGarch/R/4C-GarchModelling.R Author: wuertz Date: 2007-09-04 A pkg/fGarch/R/4A-GarchSpec.R A pkg/fGarch/R/4B-GarchSimulation.R A pkg/fGarch/R/4D-GarchMethods.R A pkg/fGarch/R/4E-GarchForecasting.R Author: wuertz Date: 2007-09-04 M pkg/fGarch/R/4C-GarchModelling.R D pkg/fGarch/R/4D-GarchOxInterface.R A pkg/fGarch/R/6A-GarchOxInterface.R Author: wuertz Date: 2007-09-04 D pkg/fGarch/man/4D-GarchOxInterface.Rd A pkg/fGarch/man/6A-GarchOxInterface.Rd Author: wuertz Date: 2007-09-04 M pkg/fGarch/R/4C-GarchModelling.R Author: wuertz Date: 2007-09-04 A pkg/fGarch/man/2A-GarchDistributions.Rd D pkg/fGarch/man/A-GarchDistributions.Rd Author: wuertz Date: 2007-09-04 A pkg/fGarch/R/2A-GarchDistributions.R D pkg/fGarch/R/4A-GarchDistributions.R Author: wuertz Date: 2007-09-04 D pkg/fGarch/man/4A-GarchDistributions.Rd A pkg/fGarch/man/A-GarchDistributions.Rd Author: wuertz Date: 2007-09-04 M pkg/fGarch/R/4C-GarchModelling.R M pkg/fGarch/R/4D-GarchOxInterface.R Author: wuertz Date: 2007-09-04 M pkg/fGarch/DESCRIPTION Author: wuertz Date: 2007-09-03 D pkg/fGarch/INDEX D pkg/fGarch/chm/00Index.html D pkg/fGarch/chm/4A-GarchDistributions.html D pkg/fGarch/chm/4C-GarchModelling.html D pkg/fGarch/chm/4D-GarchOxInterface.html D pkg/fGarch/chm/Rchm.css D pkg/fGarch/chm/fGarch.chm D pkg/fGarch/chm/fGarch.hhp D pkg/fGarch/chm/fGarch.toc D pkg/fGarch/chm/fSeries.chm D pkg/fGarch/chm/fSeries.hhp D pkg/fGarch/chm/fSeries.toc D pkg/fGarch/chm/logo.jpg Author: wuertz Date: 2007-09-03 A pkg/fGarch/DESCRIPTION A pkg/fGarch/INDEX A pkg/fGarch/R/4A-GarchDistributions.R A pkg/fGarch/R/4C-GarchModelling.R A pkg/fGarch/R/4D-GarchOxInterface.R A pkg/fGarch/R/zzz.R A pkg/fGarch/chm/00Index.html A pkg/fGarch/chm/4A-GarchDistributions.html A pkg/fGarch/chm/4C-GarchModelling.html A pkg/fGarch/chm/4D-GarchOxInterface.html A pkg/fGarch/chm/Rchm.css A pkg/fGarch/chm/fGarch.chm A pkg/fGarch/chm/fGarch.hhp A pkg/fGarch/chm/fGarch.toc A pkg/fGarch/chm/fSeries.chm A pkg/fGarch/chm/fSeries.hhp A pkg/fGarch/chm/fSeries.toc A pkg/fGarch/chm/logo.jpg A pkg/fGarch/inst/COPYRIGHT.html A pkg/fGarch/inst/DocCopying.pdf A pkg/fGarch/inst/ox/GarchOxModelling.ox A pkg/fGarch/inst/ox/GarchOxModelling30.ox A pkg/fGarch/inst/unitTests/Makefile A pkg/fGarch/inst/unitTests/runTests.R A pkg/fGarch/inst/unitTests/runit4A.R A pkg/fGarch/inst/unitTests/runit4C.R A pkg/fGarch/inst/unitTests/runit4D.R A pkg/fGarch/man/4A-GarchDistributions.Rd A pkg/fGarch/man/4C-GarchModelling.Rd A pkg/fGarch/man/4D-GarchOxInterface.Rd A pkg/fGarch/src/GarchModellingA.f A pkg/fGarch/src/GarchModellingB.f A pkg/fGarch/src/GarchModellingC.f A pkg/fGarch/src/Makevars A pkg/fGarch/src/fGarch.dll A pkg/fGarch/src/fGarch_res.rc A pkg/fGarch/tests/doRUnit.R A pkg/fGarch/unitTests.lnk