https://github.com/cran/fGarch
Tip revision: e48fa5936fa9f105a043cce59083c44659f1d3b4 authored by Rmetrics Core Team on 09 November 2009, 00:00:00 UTC
version 2110.80.1
version 2110.80.1
Tip revision: e48fa59
ChangeLog
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 <Rmetrics-core...> 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
