See the package activity on Github at: https://github.com/thiagopod17/GEVStableGarch ---------------------------- date: 2015/08/17; author: ThiagoSousa; Description: 1 - Changed the definition of the .GSgarch.dstable to the GEVStableGarch-armaGarchDist.R file in order to avoid the errors of exporting functions (no visible global function definition...). ---------------------------- ---------------------------- date: 2015/08/01; author: ThiagoSousa; Description: 1 - Corrected the model estimatio with GEV distribution. Now, the evaluation of the likelihood is done using the mathematical expression directly without calling function dgev from package fExtremes. The start value of the shape parameter was chosen to be 0.01 since in this case the density of the GEV distribution has a support at [-100,+inf]. NOTE: When the shape parameter of the GEV distribution is zero, the support is the real line. However, the evaluation the algorithm seems to get stuck on the starting model parameters if we choose to start the search with the shape equal to zero. Therefore, we choose to start it with 0.01. Aditionally, 0.001 is also a good starting shape parameter for the GEV case. 2 - small changes on functions and classes names: "GAt" to "gat", "fGEVSTABLEGARCH" to "GEVSTABLEGARCH" and "fGEVSTABLEGARCHSPEC" to "GEVSTABLEGARCHSPEC" ---------------------------- ---------------------------- date: 2015/04/26; author: ThiagoSousa; Description: 1 - implemented show methods using the code available in package fGarch. ---------------------------- ---------------------------- date: 2015/04/25; author: ThiagoSousa; Description: 1 - gsSelect function implemented 2 - function gsFit and gsSpec tested ---------------------------- ---------------------------- date: 2015/04/23; author: ThiagoSousa; Description: 1 - .getStart function changed and improved 2 - sqp.restriction algorithm tested 3 - Changed the nlminb algorithm to nlminb + nm ---------------------------- ---------------------------- date: 2015/04/18; author: ThiagoSousa; Description: 1 - dskstd distribution implemented using the dskt function from skewt package 2 - dskstd included in function GSgarch.Fit ---------------------------- ---------------------------- date: 2015/04/15; author: ThiagoSousa; Description: 1 - function stationarity.aparch tested with several test cases and some small corrections on function GSgarchSpec 2 - t3 distribution included in function GSgarchSpec ---------------------------- ---------------------------- date: 2015/04/13; author: ThiagoSousa; Description: 1 - t3.moment.aparch function included and tested ---------------------------- ---------------------------- date: 2015/04/12; author: ThiagoSousa; Description: 1 - Include t3 distribution inside function GSgarch.Fit 2 - Revision of AIC, BIC and AICc formulas 3 - Added names for the object returned from function GSgarch.GetStart ----------------------------