NEWS

fGarch 4033.92 (2024-03-26)

added VaR and ES plots to the plot method for fitted GARCH models.
documented with examples that argument which of the plot method for fitted GARCH objects can be of length greater than one.
add a link to the website created with pkgdown to file 'DESCRIPTION'.

added computation of Value-at-Risk (VaR) and expected shortfall (ES) for fitted GARCH and APARCH models (in-sample and in the predict method). Just use something like Var(fitted_object), ES(fitted_object) or predict(fitted_object, ..., p_loss = 0.05).

added "fGARCH" method for stats::tsdiag. The method produces diagnostic plot for fitted GARCH/APARCH models and computes some diagnostic tests. The plots can be chosen interactively and/or via arguments. The test results are in the returned value. The method is in development in that more plots may be made available and additional tests included in the returned value.
refactored the "fGARCH" method for 'summary' to return an object from S3 class 'summary_fGARCH' equipped with a 'print' method. The printout is the same as before, except that now the numbers in the statistics column for the residual diagnostics are aligned on the decimal point (previously they were left-aligned due to a buglet).
the "fGARCH" method for fitted was returning the data, not the fitted values. Fixes issue 6789, reported by Kouhei Hashinokuchi (hakoshie).
the help pages for the "fGARCH" methods for fitted() and residuals() were stating that the returned results have the same class as the input time series. Actually, they return numeric vectors. (todo?: to make the returned values as previously documented, garchFit() would need to put the original data or the necessary information in the fitted object, e.g., object@fit$data.
some tests were using deprecated fBasics::.distCheck() (notice the leading dot). Replaced such calls with the equivalent fBasics::distCheck().

in absMoments, the absolute moments for the standardized Student-t distribution were wrong.
in README, linked to the paper by Wuertz et al.
substantially revised the documentation and filled gaps in it.
removed the functions with suffix '_orig' which were kept temporarilly after the bug fix in v4021.87 since there were no reported problems with the fix.

require Matrix (>= 1.5-0) to avoid problems for users who have earlier versions of Matrix on their devices (thanks to Mikael Jagan for checking for not strict enough dependency on Matrix and alerting the maintainer).

We continue to use the traditional Rmetrics scheme for numbering the versions of the package as Mmmr.n, where 'M' is the current major R version at the time of submission of the package to CRAN, 'mm' is the minor one and 'r' is the revision. 'n' is the sequential number of the CRAN submission of the package. For example, this release has version 4021.87 since it was released when R 4.2.1 was current and 'n' in the previous version was 86.

The quantile function, qsnorm, was wrong around 0.5. The error was in .qsnorm. For now its version before the fix is kept as .qsnorm_orig. Basically, branching was done w.r.t. p = 0.5, which is correct only for the symmetric case, \xi = 1, and should be 1/(1+\xi^2) instead. More details in the source code. The error was affecting the central part of the distrbution with the interval becoming larger for \xi further away from 1.
The cdf, psnorm, had an error at a single point, coinciding with the wrong value for p = 0.5 returned by qsnorm(0.5) before the fix. The result was that psnorm(qsnorm(0.5)) was returning 0.5, falsely giving reassurance that qsnorm(0.5) was correct.
Not mentioned in issue 6061 but the same problems held for the other skewed distributions: qsstd, psstd, qsged, psged. The original versions of the relevant internal functions are kept for now with a suffix _orig, as above: qsstd_orig, psstd_orig, qsged_orig, psged_orig.

Edited the documentation of "garchSpec" and garchSim. It was somewhat incomplete and contained leftovers, apparently from old versions of the functions.
Documented the datasets. Previously the help page for them was a placeholder, without the names of the available datasets. There is no information about the time span of the data or how the returns were calculated.

This is a CRAN release of version 4001.1, with trivial changes in ‘DESCRIPTION’.

Added registration of compiled functionality for speed up and as good practice.
Removed all Depends: entries and checked exactly which parts of packages, notably fBasics, timeDate, and timeSeries, are needed and imported only these.
Eliminated warning about 'length > 1' character formula in garchFit(), i.e., .garchFit().
Replaced the error-prone checking for 'class()' equality by 'inherits(*, <class>)'.

Exporting practically everything seems “wrong” (according to MM): Several .<some> functions have no documentation and hence should either be (renamed and) documented or no longer be exported.
a data argument should never have a default: hence removed from garchFit().

in ‘dist-norm.Rd’, removed the description of argument ..., which is not in the argument list of any function described there.

in ‘NAMESPACE’ and ‘R/methods-plot.R’ renamed functions .plot.garch.1, ..., .plot.garch.13 to .plot.garch_1, ..., .plot.garch_13.
compressed datasets ‘data/dem2gbp.csv’ and ‘data/sp500dge.csv’ to ‘data/dem2gbp.csv.bz2’ ‘data/sp500dge.csv.bz2’, respectively.

in ‘NAMESPACE’, import (selectively) from utils.
changed a couple of calls to Matrix() from package Matrix and fastICA() from fastICA to the fully qualified forms Matrix::Matrix() and fastICA::fastICA.
removed some flag settings in ‘Makevars’.
in ‘math.f’, move a DATA command out of the body of an "if" block putting it towards the beginning of the file.

Changes up to April 2013, by Yohan Chalabi, Diethelm Wuertz, Pierre Chausse and Martin Maechler are all in file ‘ChangeLog’.