Commit 72514ef0 authored by Dirk Eddelbuettel's avatar Dirk Eddelbuettel

Import Upstream version 3042.83

parent fef1d27f
Package: fGarch
Version: 3010.82.1
Revision: 5504
Date: 2013-04-30
Title: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Author: Diethelm Wuertz and Yohan Chalabi with contribution from Michal
Miklovic, Chris Boudt, Pierre Chausse and others
Depends: R (>= 2.15.0), stats, graphics, methods, timeDate, timeSeries,
fBasics (>= 2100.78)
Suggests: RUnit, Matrix, fastICA, tcltk
Maintainer: Yohan Chalabi <yohan.chalabi@rmetrics.org>
Description: Environment for teaching "Financial Engineering and
Computational Finance".
NOTE: SEVERAL PARTS ARE STILL PRELIMINARY AND MAY BE CHANGED IN THE
FUTURE. THIS TYPICALLY INCLUDES FUNCTION AND ARGUMENT NAMES, AS
WELL AS DEFAULTS FOR ARGUMENTS AND RETURN VALUES.
Date: 2017-11-12
Version: 3042.83
Author: Diethelm Wuertz [aut],
Tobias Setz [cre],
Yohan Chalabi [ctb],
Chris Boudt [ctb],
Pierre Chausse [ctb],
Michal Miklovac [ctb]
Maintainer: Tobias Setz <tobias.setz@live.com>
Description: Provides a collection of functions to
analyze and model heteroskedastic behavior in financial time
series models.
Depends: R (>= 2.15.1), timeDate, timeSeries, fBasics
Imports: fastICA, Matrix, graphics, methods, stats, utils
Suggests: RUnit, tcltk
LazyData: yes
License: GPL (>= 2)
URL: http://www.rmetrics.org
URL: https://www.rmetrics.org
NeedsCompilation: yes
Packaged: 2016-08-15 09:24:21 UTC; ripley
Packaged: 2017-11-16 17:28:34 UTC; Tobias Setz
Repository: CRAN
Date/Publication: 2016-08-15 11:29:20
Date/Publication: 2017-11-16 22:49:18 UTC
8ddf42e368503fb9cb47500e2e44adab *ChangeLog
b241fd19fd30a7cf013a7364cdcf899a *DESCRIPTION
84da63798e4bc9bd7ca513941769fe33 *NAMESPACE
2eff91a11854273e4625d5b8672d94b6 *R/class-fGARCH.R
8b319ac72e222f5b714fd561511a1965 *R/class-fGARCHSPEC.R
04a5f0bf7ac0d162ab93f47530ccf9a9 *R/dist-absMoments.R
5a59675a293129c9476b3070c1c0825b *DESCRIPTION
40e262af2a2fe8ae321eae5b8fe244c6 *NAMESPACE
c7a13a689bb6a905b6bbd9d191c7f0df *R/class-fGARCH.R
0eb2fa2612486d6e24b7ca89f27003c2 *R/class-fGARCHSPEC.R
d53cb36b9fc1fbeb20a7fafd7aa9f0b5 *R/dist-absMoments.R
7b40285ba3f868b015ff905335f6d1df *R/dist-ged.R
ccb808524bee2242b04a87cadbce8e29 *R/dist-gedFit.R
d35be82ca2b203f6e3ecb0678d6f2fb1 *R/dist-gedSlider.R
......@@ -13,45 +13,44 @@ f4b5d342a48c57b36f4a98a08f637e56 *R/dist-sgedSlider.R
86a3ec0c1a8be8e7c8835d380697056a *R/dist-snorm.R
10382aeb852b464f0c6518e461de773f *R/dist-snormFit.R
0c71233088546c742adfa6de041994d1 *R/dist-snormSlider.R
f3119ef47af21a0a1ebb625e97fd55c1 *R/dist-sstd.R
3745c73f7cf7ee7c9ab8392fd5ae2e77 *R/dist-sstd.R
81f06f626774aa9a7e09bd6038dfebb5 *R/dist-sstdFit.R
07abb511440e5cb6d44ffcc1e450443f *R/dist-sstdSlider.R
7e19de8d0b578ea3171bc050fd81784a *R/dist-sstdSlider.R
97fbe5d8149c1a0ff7cca075826c4c5f *R/dist-std.R
add658ea5bb8e70363b1afd776ecae49 *R/dist-stdFit.R
d06897dd68e8f25e9678913e4bd4fa90 *R/dist-stdSlider.R
126411d38ce8f2ed3996f724859d08e6 *R/fGarch-package.R
224624b554b51119fc6e56b3d489277c *R/fGarch-package.R
9741bff5bd063d83445d8457cbfb9f28 *R/fGarchEnv.R
049762f686f27bcb47b7838830e277d1 *R/garch-Distribution.R
84dd692b6fceb4c81564d582961b5420 *R/garch-FitFromFormula.R
43acfba77ee802200dd409809ad3a32f *R/garch-FitFromFormula.R
b95de1c14a197e1ca0154300fe2ced7a *R/garch-FitFromSpec.R
7229c9a6a796cef089e5bf489ac43570 *R/garch-FitInternal.R
fff4d1f43e02a27c8dbb7f3a878158a7 *R/garch-GlobalVars.R
09d5ccc434690f061e870b4f22d8d3ad *R/garch-Gradient.R
9c0ec411810cc3ac437fa5a6d561e40b *R/garch-Hessian.R
9556d8f69fddef06228e47462fbe19ea *R/garch-Gradient.R
70ee5a606543a83a4d0a87e54dcbb41d *R/garch-Hessian.R
e1b1fa3c676e0da11af6333cdaba9361 *R/garch-Initialization.R
e4cf2b0d3866184a53444e5a2dfd613d *R/garch-Sim.R
e3e825a5d6575d25fe1cd253ea79a530 *R/garch-Solver.R
cf13fdd0a7f3afdea658cfff54087257 *R/garch-SolverControl.R
7d4060c159a161bce6d7e7e026873a22 *R/garch-Spec.R
7fb1ec19226587e1f1904f7b9455d496 *R/garch-Stats.R
8c5b3f6e5fc38d84c5960c57bddd5ac4 *R/garch-Sim.R
d02bb65ed394232775cc7a65bec1c7a3 *R/garch-Solver.R
effee1524457176e544a4159f06f9e65 *R/garch-SolverControl.R
cdf7d994bb67c2c35e6f571e731daf48 *R/garch-Spec.R
b4c216db11d187be7b33a1b9208abcb5 *R/garch-Stats.R
a0af43ada8cf98ae21ff931574f48317 *R/loglik-aparch.R
85dbb41d543618dd30d9b0514794a3b0 *R/loglik-egarch.R
b70ab1c76855204cac6a878bc7c561f2 *R/loglik.R
635a7e01a9f65b2785512ad3ff9ccd30 *R/methods-coef.R
fa405e2d76878d6e01e434d0cea425c3 *R/methods-fitted.R
16689bae0dbc0202d7b50dcefcdfbece *R/methods-formula.R
217995820b9c6780add922fb58b2af6a *R/methods-plot.R
3051bb12027a0f26eeda1fc3f707acfd *R/methods-predict.R
a21b7e3829e99b2d0e3f5828c4a67254 *R/methods-residuals.R
f46e2370d14171a1840333063b7a5abb *R/methods-show.R
4c436f7f23d453ac09fb88c42ba8b007 *R/methods-summary.R
ad86287a53598ed54b90cd88a0d9ecc5 *R/methods-update.R
d5635a8199157a93e80de65af8d745d9 *R/methods-volatility.R
e91268b2f41c918e5f72e6504802fde5 *R/mgarch-FitFromFormula.R
fa3322933d76cfb3b2255a425a111b9d *R/zzz.R
fe75772d65e05a3b189023e372d3d1a2 *data/dem2gbp.csv.gz
58bbdc46c698bc7b97657229e8de1277 *data/sp500dge.csv.gz
6042b9c5e5bec3ecc1b6959cd2858b64 *inst/COPYRIGHT.html
39efcefff0257a13ba13c2807d1c0b6c *R/methods-coef.R
c96b4ee7ae023be36581ff7a27ce50f9 *R/methods-fitted.R
7f19cf78ce22bbab0b2322e96def3b39 *R/methods-formula.R
fd9a4a9bea168c7e37df25deb8efae28 *R/methods-plot.R
578a3adf72204cdb6d41e25cbde0373e *R/methods-predict.R
c46ae3e7eb3ca4eaffbf35b6be00ab35 *R/methods-residuals.R
332ad409cd0a8c3cac3ad482a53f4f32 *R/methods-show.R
c70f026e5bcd8c423e95fc44961fe7fb *R/methods-summary.R
2a8962e41ed5a4de63d2fe649a9e12e3 *R/methods-update.R
1b223cf816ecee7b9fe1d26245fe9baa *R/methods-volatility.R
8da3513457c3bc1ac9d1edd0ef14d5c1 *R/mgarch-FitFromFormula.R
ffa21c2bbe8da31f47d9a7b89bf7b61b *R/zzz.R
546b76b0202b84b735595992648ae3ea *data/dem2gbp.csv
e5b90a876ee62efb665b30b250b5c60e *data/sp500dge.csv
70a0d93bc75a19be75bdab2f50fc48a0 *inst/THANKS
665e719c6c9360340268b2e6ac891515 *inst/unitTests/Makefile
6daf0e9de9a62ce7c24edd2e9cd2f7e1 *inst/unitTests/runTests.R
......@@ -73,7 +72,7 @@ afeb0877a73a8b55095082caca3a9f40 *inst/unitTests/runit.predict-methods.R
027c502c4b2fd05f0d7a34a5f28a350a *inst/unitTests/runit.sged.R
d03a2e8ca1f24c8d04dcb441d46c2694 *inst/unitTests/runit.snorm.R
a5e6fc9d1dd9aff86220e2f674eda459 *inst/unitTests/runit.sstd.R
085cb26fb72eddee0a61e75226eb4234 *man/00fGarch-package.Rd
d8c081c707121c5065bbf74fd17516dd *man/00fGarch-package.Rd
f1df87fa10c973d2654cd6f8a1728dc1 *man/class-fGARCH.Rd
125ed9a7cad0ba5c5fb6b0b3aa143c5d *man/class-fGARCHSPEC.Rd
8319b3d1b871d1b876eddc5ca2ec7615 *man/data.Rd
......@@ -93,7 +92,7 @@ d1ed90d33be97640a9afc984256bb0bf *man/dist-sstdFit.Rd
185f16a210c121a46c3f8ab31e5274e0 *man/dist-std.Rd
6388f5b29675e60cf7f2071d88ddd142 *man/dist-stdFit.Rd
0127c8854cbe9dbea33978c02f06d689 *man/dist-stdSlider.Rd
f8d73cea1d5b19b4ff998658c89ac755 *man/garchFit.Rd
d3318208a34a454113cd1db9c721ef95 *man/garchFit.Rd
8b341b0c56c5903531b3492115ce2647 *man/garchFitControl.Rd
9a8625ab45743b198f0cadfb51f54f38 *man/garchSim.Rd
0565d8a39f2cc19856ab7a7d158fb18b *man/garchSpec.Rd
......@@ -101,7 +100,7 @@ f8d73cea1d5b19b4ff998658c89ac755 *man/garchFit.Rd
437a5143241abaceff1a9bc446e54e5e *man/methods-fitted.Rd
7184cdd72049c0bd39bfd7ed621a1276 *man/methods-formula.Rd
1bff636eac58d145cb4a73109198df68 *man/methods-plot.Rd
c106fc7bae63dd1457929dbff455fb5c *man/methods-predict.Rd
bc2a140936817c8fefc8517f66b9b953 *man/methods-predict.Rd
e585f179940bc17c4b15e0c46024cc65 *man/methods-residuals.Rd
5b2f04e08dc58078f6a167d9d79525fb *man/methods-show.Rd
66cadde8ef0a5bc7d64a7da424685692 *man/methods-summary.Rd
......
......@@ -9,7 +9,7 @@ import("methods")
import("timeDate")
import("timeSeries")
import("fBasics")
importFrom("utils", "capture.output", "menu")
importFrom("utils", capture.output, menu)
################################################
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: DESCRIPTION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: SPECIFICATION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: MOMENTS:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: DESCRIPTION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: DESCRIPTION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
This diff is collapsed.
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: PARAMETER ESTIMATION:
......
......@@ -21,6 +21,8 @@
# .garchRCDAHessian Computes R coded CDA Hessian matrix
# .garchRTSHessian Computes R coded Two Sided Hessian matrix
# .hessian2sided Function called from .garchRTSHessian
# REQUIRED:
# Matrix
################################################################################
......@@ -181,16 +183,16 @@
# FUNCTION:
# Settings:
n = length(x)
n <- length(x)
fx <- f(x, ...)
eps = .Machine$double.eps
eps <- .Machine$double.eps
# Compute the stepsize (h)
h = eps^(1/3) *
apply( as.data.frame(x), 1, FUN = function(z) max(abs(z), 1.0e-2))
xh = x + h
h = xh - x
ee = Matrix::Matrix(diag(h), sparse = TRUE)
ee <- Matrix::Matrix(diag(h), sparse = TRUE)
# Compute forward and backward steps:
gp = vector(mode = "numeric", length = n)
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: SIMULATION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: SOLVER:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
##############################################################################
# FUNCTION: DESCRIPTION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: SPECIFICATION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: DESCRIPTION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# METHOD: EXTRACTORS:
......
# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# METHOD: EXTRACTORS:
# fitted.fGARCH S3 fitted values for an object of class 'fGARCH'
################################################################################
setMethod(f = "fitted", signature(object = "fGARCH"), definition =
function(object)
{
# A function implemented by Diethelm Wuertz
# Description:
# S3 Fitted values method for an object of class fGARCH
# Arguments:
# object - an object of class fGarch as returned by the function
# garchFit
# FUNCTION:
# Get numeric vector of fitted, optionally standardized
fitted = object@fitted
# Get original time series class:
ans = slot(object, "data")
Name = as.character(fit@formula[2])
attr(ans, "Name") <- Name
# Return Value:
ans
})
################################################################################
# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# METHOD: EXTRACTORS:
# fitted.fGARCH S3 fitted values for an object of class 'fGARCH'
################################################################################
setMethod(f = "fitted", signature(object = "fGARCH"), definition =
function(object)
{
# A function implemented by Diethelm Wuertz
# Description:
# S3 Fitted values method for an object of class fGARCH
# Arguments:
# object - an object of class fGarch as returned by the function
# garchFit
# FUNCTION:
# Get numeric vector of fitted, optionally standardized
fitted = object@fitted
# Get original time series class:
ans = slot(object, "data")
Name = as.character(object@formula[2])
attr(ans, "Name") <- Name
# Return Value:
ans
})
################################################################################
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: DESCRIPTION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: DESCRIPTION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# METHOD: PREDICTION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# METHOD: EXTRACTORS:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: DESCRIPTION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: DESCRIPTION:
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# METHOD: EXTRACTORS:
......@@ -33,6 +21,7 @@
# update,fGARCH Update Methods
################################################################################
setMethod("update", "fGARCHSPEC", function(object, ... )
{
# A function implemented by Yohan Chalabi
......@@ -62,6 +51,10 @@ setMethod("update", "fGARCHSPEC", function(object, ... )
eval(call, parent.frame())
})
# -----------------------------------------------------------------------------
setMethod("update", "fGARCH", function(object, ... )
{
# A function implemented by Yohan Chalabi
......
......@@ -14,18 +14,6 @@
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# METHOD: EXTRACTORS:
......
......@@ -22,7 +22,7 @@
.gogarchFit <-
function(formula = ~ garch(1, 1), data,
function(formula = ~ garch(1, 1), data,
init.rec = c("mci", "uev"),
delta = 2,
skew = 1,
......@@ -106,9 +106,9 @@ function(formula = ~ garch(1, 1), data,
# Bernhard Pfaff's contributed package gogarch
H <- matrix(unlist(lapply(fit, function(x) x@h.t)),
ncol = ncol(X), nrow = nrow(X))
Hdf = data.frame(t(H))
rownames(Hdf) = colnames(data)
colnames(Hdf) = rownames(data)
Hdf <- data.frame(t(H))
rownames(Hdf) <- colnames(data)
colnames(Hdf) <- rownames(data)
H.t <- lapply(Hdf, function(x) Z %*% diag(x) %*% t(Z))
# Add Title and Description:
......@@ -116,7 +116,7 @@ function(formula = ~ garch(1, 1), data,
if(is.null(description)) description = description()
# Result:
ans = new("fGARCH",
ans <- new("fGARCH",
call = as.call(match.call()),