GJR-GARCH, TGARCH, APARCH, FIGJR-GARCH, FITGARCH and FIAPARCH
pre-sample values have been stabilized slightly.
In dual models, where for some models in the volatility part
pre-sample quantities are set through empirical values, a preliminary
ARMA or FARIMA estimation step has been implemented to obtain their
residuals and subsequently obtain the pre-sample values based on those
residuals; this stabilizes estimated conditional standard deviations at
the beginning of the training period; dual models with long-memory EGF
part for the variance model stay fully unaffected.
fixed a bug in garch_sim, where the simulation failed,
if no setting of phi in the list for argument
pars was provided manually.
fEGarch 1.0.5 (2026-02-02)
a bug in the backtesting functions for output of
measure_risk,fEGarch_distr_est-method was fixed that was
introduced with package version 1.0.4; this did not affect the
measure_risk function.
step size different from 1 in rolling volatility forecasts under
model refitting now available for GARCH-type models different from the
exponential GARCH family (was already and is available for exponential
GARCH family models).
fEGarch 1.0.4 (2026-01-07)
the method predict_roll() now allows for refitting of
the underlying model via the new argument refit_after
during the test period.
measure_risk() and backtest functions take into account
the potential refitting to compute risk measures and backtest
quantities.
all fitting functions now include an argument skip_vcov
to allow for skipping the variance-covariance matrix computation
fEGarch 1.0.3 (2025-11-07)
numerical stability of estimators improved regarding parameter mu in
cases with strong outliers
some parameter default starting values were adjusted slightly to
further increase numerical stability
typos in the documentation for
trafflight_test,fEGarch_risk-method were fixed
some unnecessary elements in the manual for internal functions have
been removed from the manual for improved clarity
fEGarch 1.0.2 (2025-09-11)
required package update for RcppArmadillo update to Armadillo
15.0.*
a bug was fixed, where for the nonparametric scale estimation always
the automated bandwidth selection under long-memory errors was employed,
even for short-memory models; now the functions select the appropriate
bandwidth selection algorithm correctly for short- and long-memory
models
a safety measure was included to avoid that the log-likelihood can
become -Inf
math formulas were fully removed from the README, because they were
not displayed properly on CRAN
some minor typos were corrected in the README
fEGarch 1.0.1 (2025-06-20)
a bug was fixed, where for most models except for EGARCH-type models
the mean estimate was not considered properly in volatility
forecasts
a bug was fixed, where for EGARCH-family models rolling point
forecasts under the (skewed) ALD were erroneous
the mathematical formula in the README was not displayed correctly
on the CRAN servers and was therefore removed entirely
the package description was adjusted to contain also information on
the the more advanced models and backtesting capabilities of the
package, making it easier for users to see what to expect from the
package
the package title was adjusted to contain more information on the
package’s contents, making it easier for users to see what to expect
from the package
a bug was fixed in the computation of the hessian matrix, where now
it is caught if a hessian is not invertible through solve() and the
fitting functions therefore now don’t stop due to an error anymore
an additional dataset UKinflation was added to the
package to show applications of the package beyond return data