Changes to version 0.6-2 (14 September 2015): ============================================= - lgarch: * Formula for the variance-covariance matrix of the ARMA-representation corrected when method="ls" * improved column-names handling of X-regressors * the dates/index of regressor(s), i.e. the xreg argument, is automatically matched with dates/index of the regressand Main changes to version 0.5 (1 September 2014): =============================================== - lgarchSim: c.code argument added with default TRUE (i.e. compiled C-code is used for the recursion; this speeds up simulations considerably) - S3 method summary added for lgarch and mlgarch objects - lgarch, mlgarch: backcast.values argument removed - lgarchRecursion1: for improved numerical stability the backcast values of ln(y^2) was changed to the empirical mean. Also, a bug that occurred whenever c.code=FALSE was corrected Main changes to version 0.4 (1 July 2014): ========================================== - lgarch: * mean-correction as estimation-option added - a third estimation method was added: QML via the centred Chi-squared distribution as instrumental density - fitted.lgarch: bug fix (the bug induced incorrect fitted values at zero-locations) - stylistic changes to the documentation Main changes to version 0.3 (1 June 2014): ========================================== - functions and S3 methods for the simulation and estimation of the multivariate CCC-log-GARCH(1,1) model were added - gdiff function added - rss.lgarch function changed name to rss - zoo-related bug corrected in glag - glag function: improved further, and the pad argument in the glag function acquired a new default (TRUE) - minor improvements throughout, and several stylistic changes made to the documentation Main changes to version 0.2 (28 April 2014): ============================================ - lgarch function: A couple of bugs corrected in the parameter-indexing, which ocurred whenever the garch order argument was set to 0 - glag: Completely rewritten. Now it can also lag matrices, and it gives a "special treatment" to zoo-objects (the indexing is retained) - function lgarchLogl changed name to lgarchObjective - argument logl.penalty in lgarch function changed to objective.penalty - lgarch function: the argument method=c("ml","ls") was added. If method="ml", then estimation is with Gaussian QML via the ARMA representation. If method="ls", then estimation is with least squares via the ARMA representation. Although asymptotically equivalent in most respects, the latter is slightly faster since one parameter less is estimated - function rss.lgarch added (extract Residual Sum of Squares of ARMA representation) from an lgarch object - function mlgarchSim added (simulate from a multivariate log-GARCH(1,1)) - function rmnorm added (generate from multivariate normal) Version 0.1 (18 March 2014): ============================ - All versions until 1.0 should be considered as Beta-versions