Movatterモバイル変換

fEGarch 1.0.3 (2025-11-07)

numerical stability of estimators improved regarding parameter mu incases with strong outliers
some parameter default starting values were adjusted slightly tofurther increase numerical stability
typos in the documentation fortrafflight_test,fEGarch_risk-method were fixed
some unnecessary elements in the manual for internal functions havebeen removed from the manual for improved clarity

required package update for RcppArmadillo update to Armadillo15.0.*
a bug was fixed, where for the nonparametric scale estimation alwaysthe automated bandwidth selection under long-memory errors was employed,even for short-memory models; now the functions select the appropriatebandwidth selection algorithm correctly for short- and long-memorymodels
a safety measure was included to avoid that the log-likelihood canbecome -Inf
math formulas were fully removed from the README, because they werenot displayed properly on CRAN
some minor typos were corrected in the README

a bug was fixed, where for most models except for EGARCH-type modelsthe mean estimate was not considered properly in volatilityforecasts
a bug was fixed, where for EGARCH-family models rolling pointforecasts under the (skewed) ALD were erroneous
the mathematical formula in the README was not displayed correctlyon the CRAN servers and was therefore removed entirely
the package description was adjusted to contain also information onthe the more advanced models and backtesting capabilities of thepackage, making it easier for users to see what to expect from thepackage
the package title was adjusted to contain more information on thepackage’s contents, making it easier for users to see what to expectfrom the package
a bug was fixed in the computation of the hessian matrix, where nowit is caught if a hessian is not invertible through solve() and thefitting functions therefore now don’t stop due to an error anymore
an additional datasetUKinflation was added to thepackage to show applications of the package beyond return data
some examples in the README were adjusted / added