small update

tsmodels · Oct 11, 2024 · a30c72c · a30c72c
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diff --git a/.Rbuildignore b/.Rbuildignore
diff --git a/.gitignore b/.gitignore
@@ -43,3 +43,5 @@ README.Rmd
 *.o
 *.tmp
 inst/doc
+inst/.DS_Store
+.DS_Store
diff --git a/DESCRIPTION b/DESCRIPTION
@@ -2,9 +2,9 @@ Package: tsgarch
 Type: Package
 Title: Univariate GARCH Models
 Version: 1.0.3
-Authors@R: c(person("Alexios", "Galanos", role = c("aut", "cre","cph"), email = "alexios@4dscape.com"))
+Authors@R: c(person("Alexios", "Galanos", role = c("aut", "cre","cph"), email = "alexios@4dscape.com", comment = c(ORCID = "0009-0000-9308-0457")))
 Maintainer: Alexios Galanos <alexios@4dscape.com>
-Depends: R (>= 3.5.0), methods, tsmethods
+Depends: R (>= 3.5.0), methods, tsmethods (>= 1.0.2)
 LinkingTo: Rcpp (>= 0.10.6), TMB(>= 1.7.20), RcppEigen
 Imports: TMB (>= 1.7.20), Rcpp, nloptr, Rdpack, numDeriv, xts, zoo, future.apply, future, progressr, flextable, stats, utils, data.table, tsdistributions, lubridate, sandwich
 Description: Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.
@@ -13,7 +13,7 @@ Encoding: UTF-8
 LazyData: true
 BugReports: https://github.com/tsmodels/tsgarch/issues
 RdMacros: Rdpack
-RoxygenNote: 7.3.1
+RoxygenNote: 7.3.2
 Roxygen: list(markdown = TRUE)
 ByteCompile: true
 URL: https://github.com/tsmodels/tsgarch

diff --git a/NAMESPACE b/NAMESPACE
diff --git a/NEWS.md b/NEWS.md
@@ -1,7 +1,7 @@
 # tsgarch 1.0.3
 
 * Added the log-likelihood vector to the returned fitted and filtered object
-as this will be needed in the calculation of the standard errors in the 
+as this will be needed in the calculation of the standard errors in the upcoming
 multivariate GARCH package.
 * Added an extra option to the estimation method which adds the TMB object
 to the returned estimation object. This can then be used to directly vary
@@ -22,6 +22,7 @@ is best approximated by the bootstrapped residuals rather than the imposed
 parametric distribution with estimated parameters.
 * For the bootstrap simulated prediction, the re-sampled standardized innovations
 are now scaled to avoid bias.
+* Fix to h=1 and nsim. Previously when h=1, nsim was set to zero.
 
 # tsgarch 1.0.2
 

diff --git a/R/backtest.R b/R/backtest.R
diff --git a/R/benchmark.R b/R/benchmark.R
diff --git a/R/constraints.R b/R/constraints.R
diff --git a/R/data.R b/R/data.R
diff --git a/R/distribution.R b/R/distribution.R
diff --git a/R/equations.R b/R/equations.R
diff --git a/R/estimate.R b/R/estimate.R
diff --git a/R/extractors.R b/R/extractors.R
diff --git a/R/filter.R b/R/filter.R
diff --git a/R/initialization.R b/R/initialization.R
diff --git a/R/likelihood.R b/R/likelihood.R
diff --git a/R/methods.R b/R/methods.R
@@ -861,7 +861,7 @@ predict.tsgarch.estimate <- function(object, h = 1, newxreg = NULL, newvreg = NU
     }
     sim_method <- match.arg(sim_method[1], c("parametric","bootstrap"))
     h <- max(1, as.integer(h[1]))
-    if (h == 1) nsim <- 0
+    #if (h == 1) nsim <- 0
     nsim <- max(0, as.integer(nsim[1]))
     block <- max(0, as.integer(block[1]))
     model <- object$spec$model$model

diff --git a/R/multispec.R b/R/multispec.R
diff --git a/R/newsimpact.R b/R/newsimpact.R
diff --git a/R/persistance.R b/R/persistance.R
diff --git a/R/predict.R b/R/predict.R
@@ -103,7 +103,7 @@ simulated_distribution <- function(object, sigma, h = 1, nsim = 1,
     parameter <- NULL
     if (!is.null(seed)) set.seed(seed)
     series_sim <- sigma_sim <- NULL
-    if (nsim > 0 & h > 1) {
+    if (nsim > 0) {
         if (sim_method == "bootstrap") {
             out <- garch_bootstrap(object, h = h, nsim = nsim, block = block, vreg = tail(vreg, h), seed = seed)
             sigma_sim <- out$sigma

diff --git a/R/print.R b/R/print.R
diff --git a/R/profile.R b/R/profile.R
diff --git a/R/reexports.R b/R/reexports.R
diff --git a/R/sandwich.R b/R/sandwich.R
diff --git a/R/simulate.R b/R/simulate.R
diff --git a/R/solvers.R b/R/solvers.R
diff --git a/R/specification.R b/R/specification.R
diff --git a/R/tsgarch-package.R b/R/tsgarch-package.R
diff --git a/R/unconditional.R b/R/unconditional.R
diff --git a/R/utilities.R b/R/utilities.R
diff --git a/README.md b/README.md
@@ -1,6 +1,6 @@
 
-[![R-CMD-check](https://github.com/tsmodels/tsgarch/actions/workflows/rcmdcheck.yaml/badge.svg)](https://github.com/tsmodels/tsgarch/actions/workflows/R-CMD-check.yaml)
-[![Last-changedate](https://img.shields.io/badge/last%20change-2024--06--28-yellowgreen.svg)](/commits/master)
+[![R-CMD-check](https://github.com/tsmodels/tsgarch/actions/workflows/R-CMD-check.yaml/badge.svg)](https://github.com/tsmodels/tsgarch/actions/workflows/R-CMD-check.yaml)
+[![Last-changedate](https://img.shields.io/badge/last%20change-2024--09--22-yellowgreen.svg)](/commits/master)
 [![packageversion](https://img.shields.io/badge/Package%20version-1.0.3-orange.svg?style=flat-square)](commits/master)
 [![CRAN_Status_Badge](https://www.r-pkg.org/badges/version/tsgarch)](https://cran.r-project.org/package=tsgarch)
 

diff --git a/data/dmbp.rda b/data/dmbp.rda
diff --git a/data/nikkei.rda b/data/nikkei.rda
diff --git a/inst/REFERENCES.bib b/inst/REFERENCES.bib
diff --git a/man/AIC.Rd b/man/AIC.Rd
diff --git a/man/BIC.Rd b/man/BIC.Rd
diff --git a/man/as_flextable.benchmark.Rd b/man/as_flextable.benchmark.Rd
diff --git a/man/as_flextable.summary.Rd b/man/as_flextable.summary.Rd
diff --git a/man/benchmark_fcp.Rd b/man/benchmark_fcp.Rd
diff --git a/man/benchmark_laurent.Rd b/man/benchmark_laurent.Rd
diff --git a/man/bread.Rd b/man/bread.Rd
diff --git a/man/coef.Rd b/man/coef.Rd
diff --git a/man/confint.Rd b/man/confint.Rd
diff --git a/man/dmbp.Rd b/man/dmbp.Rd
diff --git a/man/estfun.Rd b/man/estfun.Rd
diff --git a/man/estimate.Rd b/man/estimate.Rd
diff --git a/man/fitted.Rd b/man/fitted.Rd
diff --git a/man/garch_modelspec.Rd b/man/garch_modelspec.Rd
diff --git a/man/halflife.Rd b/man/halflife.Rd
diff --git a/man/logLik.Rd b/man/logLik.Rd
diff --git a/man/newsimpact.Rd b/man/newsimpact.Rd
diff --git a/man/nikkei.Rd b/man/nikkei.Rd
diff --git a/man/nloptr_options.Rd b/man/nloptr_options.Rd
diff --git a/man/nobs.Rd b/man/nobs.Rd
diff --git a/man/omega.Rd b/man/omega.Rd
diff --git a/man/persistence.Rd b/man/persistence.Rd
diff --git a/man/pit.Rd b/man/pit.Rd
diff --git a/man/plot.Rd b/man/plot.Rd
diff --git a/man/plot.tsgarch.estimate.Rd b/man/plot.tsgarch.estimate.Rd
diff --git a/man/plus-.tsgarch.spec.Rd b/man/plus-.tsgarch.spec.Rd
diff --git a/man/predict.Rd b/man/predict.Rd
diff --git a/man/print.Rd b/man/print.Rd
diff --git a/man/print.summary.tsgarch.profile.Rd b/man/print.summary.tsgarch.profile.Rd
diff --git a/man/reexports.Rd b/man/reexports.Rd
diff --git a/man/residuals.Rd b/man/residuals.Rd
diff --git a/man/sigma.Rd b/man/sigma.Rd
diff --git a/man/simulate.Rd b/man/simulate.Rd
diff --git a/man/summary.Rd b/man/summary.Rd
diff --git a/man/summary.tsgarch.profile.Rd b/man/summary.tsgarch.profile.Rd
diff --git a/man/to_multi_estimate.Rd b/man/to_multi_estimate.Rd
diff --git a/man/tsbacktest.Rd b/man/tsbacktest.Rd
diff --git a/man/tsequation.Rd b/man/tsequation.Rd
diff --git a/man/tsfilter.Rd b/man/tsfilter.Rd
diff --git a/man/tsgarch-package.Rd b/man/tsgarch-package.Rd
diff --git a/man/tsprofile.Rd b/man/tsprofile.Rd
diff --git a/man/unconditional.Rd b/man/unconditional.Rd
diff --git a/man/vcov.Rd b/man/vcov.Rd
diff --git a/src/Makevars b/src/Makevars
diff --git a/src/Makevars.win b/src/Makevars.win
diff --git a/src/TMB/aparchfun.hpp b/src/TMB/aparchfun.hpp
diff --git a/src/TMB/aparchjac.hpp b/src/TMB/aparchjac.hpp
diff --git a/src/TMB/aparchkappa.h b/src/TMB/aparchkappa.h
diff --git a/src/TMB/cgarchfun.hpp b/src/TMB/cgarchfun.hpp
diff --git a/src/TMB/compile.R b/src/TMB/compile.R
diff --git a/src/TMB/distfun.h b/src/TMB/distfun.h
diff --git a/src/TMB/egarchfun.hpp b/src/TMB/egarchfun.hpp
diff --git a/src/TMB/egarchkappa.h b/src/TMB/egarchkappa.h
diff --git a/src/TMB/fgarchfun.hpp b/src/TMB/fgarchfun.hpp
diff --git a/src/TMB/fgarchjac.hpp b/src/TMB/fgarchjac.hpp
diff --git a/src/TMB/fgarchkappa.h b/src/TMB/fgarchkappa.h
diff --git a/src/TMB/garchextra.h b/src/TMB/garchextra.h
diff --git a/src/TMB/garchfun.hpp b/src/TMB/garchfun.hpp
diff --git a/src/TMB/gjrgarchfun.hpp b/src/TMB/gjrgarchfun.hpp
diff --git a/src/TMB/gjrgarchjac.hpp b/src/TMB/gjrgarchjac.hpp
diff --git a/src/TMB/gjrkappa.h b/src/TMB/gjrkappa.h
diff --git a/src/TMB/tsgarch_TMBExports.cpp b/src/TMB/tsgarch_TMBExports.cpp
diff --git a/src/filters.cpp b/src/filters.cpp
diff --git a/src/simulation.cpp b/src/simulation.cpp
diff --git a/tests/longtests/test-backtest.R b/tests/longtests/test-backtest.R
diff --git a/tests/longtests/test-prediction.R b/tests/longtests/test-prediction.R
diff --git a/tests/longtests/test-profile.R b/tests/longtests/test-profile.R
diff --git a/tests/testthat.R b/tests/testthat.R
diff --git a/tests/testthat/helper-global.R b/tests/testthat/helper-global.R
diff --git a/tests/testthat/test-benchmarks.R b/tests/testthat/test-benchmarks.R
diff --git a/tests/testthat/test-estimation.R b/tests/testthat/test-estimation.R
diff --git a/tests/testthat/test-filtering.R b/tests/testthat/test-filtering.R
diff --git a/tests/testthat/test-newsimpact.R b/tests/testthat/test-newsimpact.R
diff --git a/tests/testthat/test-operator.R b/tests/testthat/test-operator.R
diff --git a/tests/testthat/test-simulation.R b/tests/testthat/test-simulation.R
diff --git a/tests/testthat/test-tmb.R b/tests/testthat/test-tmb.R
diff --git a/tsgarch.Rproj b/tsgarch.Rproj
@@ -0,0 +1,20 @@
+Version: 1.0
+
+RestoreWorkspace: Default
+SaveWorkspace: Default
+AlwaysSaveHistory: Default
+
+EnableCodeIndexing: Yes
+UseSpacesForTab: Yes
+NumSpacesForTab: 4
+Encoding: UTF-8
+
+RnwWeave: knitr
+LaTeX: XeLaTeX
+
+AutoAppendNewline: Yes
+StripTrailingWhitespace: Yes
+
+BuildType: Package
+PackageUseDevtools: Yes
+PackageInstallArgs: --no-multiarch --with-keep.source
diff --git a/vignettes/.gitignore b/vignettes/.gitignore
diff --git a/vignettes/benchmark.Rmd b/vignettes/benchmark.Rmd
diff --git a/vignettes/custom.css b/vignettes/custom.css
diff --git a/vignettes/demonstration.Rmd b/vignettes/demonstration.Rmd
diff --git a/vignettes/garch_models.Rmd b/vignettes/garch_models.Rmd
diff --git a/vignettes/references.bib b/vignettes/references.bib