tsgarch 1.0.2
- Moved a unit tests back to original folder and added a tolerance to the expectation per CRAN maintainers directions.
tsgarch 1.0.1
- Moved a couple of unit tests to other folder to avoid checking on CRAN since the M1 mac had different rounding errors than other architectures for simulation tests.
tsgarch 1.0.0
- Initial CRAN submission.
- Changes to initialization of recursion in the ARCH equation to be more consistent with the literature. This leads to a more than doubling in the accuracy against the FCP benchmark.
- Correction to EGARCH forecast to account for log bias.
- Added a couple more data series for benchmarking.
- Added a pdf vignette.
- Added demo html vignettes.
- Added extensive unit tests.