stochvol 3.2.0 2021-11-26

  • Include reference to the JSS paper
  • Bugfix: initial value for ‘mu’ was incorrect when ‘mu’ was set to constant a priori
  • Typo corrections in the documentation

stochvol 3.1.0 2021-07-12

  • NEW FUNCTION ‘svlm’, which has a formula interface; it is a wrapper around ‘svsample’; many thanks to Peter Knaus for his help
  • Turn on printing on Windows
  • Implement Geweke test in C++; it is feasible to execute it as a CRAN test now
  • Small change in the behavior of ‘predict.svdraws’: when ‘newdata’ is given then ‘steps’ is ignored; A warning is shown if this is relevant
  • Updated examples for ‘svsample’ and ‘predict’ so that they use the extractors as intended
  • Simplified vignette: cache some results to reduce dependencies
  • Bugfix in adaptation that does not affect correctness

stochvol 3.0.6 2021-05-20

  • Correct wrongly submitted vignettes

stochvol 3.0.5 2021-05-16

  • Re-added first vignette with the necessary updates
  • Bugfix in ‘residuals.svdraws’ and ‘plot.svresid’; thanks to David Zoltan Szabo

stochvol 3.0.4 2021-02-09

  • Updated vignette
  • Prevent some compilation warnings
  • Updated CITATION file

stochvol 3.0.3 2020-11-24

  • Bugfix in ‘svsample’ when the input data contains 0s

stochvol 3.0.2 2020-11-17

  • Bugfix in the fast access functions ‘svsample_fast_cpp’ and ‘svsample_general_cpp’: dimensions were incorrect
  • Bring out the adaptation object for ‘svsample_general_cpp’ to the R level; used to be accessible from C++ only
  • Update to the adaptation object in C++

stochvol 3.0.1 2020-11-04

  • Bugfix for calls to ‘svsample’ with draws = 1
  • Fix some #include directives
  • Avoid compilation problems on Solaris

stochvol 3.0.0 2020-11-03

  • New model: heavy-tailed SV with leverage and its sampling function ‘svtlsample’
  • Change in the heavy-tailed models: now they operate with a normalized Student’s t-distribution, i.e. its standard deviation is 1 for all degrees of freedom
  • New, optional API for specifying prior distributions
  • It is possible to set any or all of ‘mu’, ‘phi’, ‘sigma’, ‘nu’, ‘rho’ to a constant value, i.e. set a Dirac prior
  • Replaced the prior distribution for the degrees of freedom parameter ‘nu’ with an exponential distribution; it used to be a uniform distribution
  • New set of unit tests including a Geweke test
  • Entirely refactored C++ backend
  • New, rethought set of exported C++ functions: ‘update_fast_sv’, ‘update_general_sv’, ‘update_regression’, and ‘update_t_error’; all of them are documented
  • Vastly improved the computational efficiency of the former ‘svlsample’ code
  • New feature: run independent MCMC chains on the same data set
  • Integration of the ‘parallel’ package: option to run independent MCMC chains on a ‘SNOW’ cluster or using the ‘multicore’ strategy
  • Modified backend for ‘svdraws’ and ‘svpredict’ objects to to incorporate independent chains: they contain ‘mcmc.list’ objects instead of plain ‘mcmc’ objects. WARNING! This may break code that exploited the backend!
  • Additional extractor functions for ‘svdraws’ objects: ‘vola’, ‘sv_beta’, ‘sv_tau’, ‘sampled_parameters’, index chains via [], ‘as.array’
  • New extractors for ‘svpredict’ objects: ‘predy’, ‘predlatent’, ‘predvola’, index chains via []
  • CITATION file updated
  • New vignette
  • SV with leverage also includes ‘latent0’ from now on
  • New feature: rolling window estimation via the functions ‘svsample_roll’, ‘svtsample_roll’, ‘svlsample_roll’, and ‘svtlsample_roll’
  • Unified plotting between models: removed the ‘scaling’ plot from heavy-tailed model outputs
  • Many new, small examples
  • Small bugfixes
  • New “fast-access” functions to circumvent input validation: ‘svsample_fast_cpp’ and ‘svsample_general_cpp’; their arguments are slightly different from the ‘svsample’ family of functions, they come with documentation
  • ‘svsample2’ is set to deprecated

stochvol 2.0.5 Unreleased

  • Bugfix in predict when a constant mean model is used for prediction
  • Test suite added
  • Updated CITATION file

stochvol 2.0.4 2019-06-26

  • Bugfix in ‘svlpredict’ when an inverse gamma prior is used.
  • Function ‘svtpredict’ introduced for convenience when estimating SV with heavy tails.
  • New generic: logret; old logret function is now logret.default (this change shouldn’t bother the end user).
  • New generic: paratraceplot; old paratraceplot function is now paratraceplot.svdraws (this change shouldn’t bother the end user).

stochvol 2.0.3 2019-05-29

  • The exported C++ function ‘update_svl’ can draw posterior values with a fixed ‘mu’.
  • Controlling the amount of latent variable draws to be stored can now be controlled through the ‘keeptime’ argument to ‘svsample’, ‘svsample2’, ‘svlsample’, and ‘svlsample2’.

stochvol 2.0.2 2019-03-27

  • Bugfix in ‘predict.svdraws’

stochvol 2.0.1 2019-02-26

  • Introduced a minimalistic ‘plot.svpredict’ / ‘plot.svlpredict’
  • More fine-grained control over the covariance matrix in ‘svlsample’, the default employs an approximate covariance matrix coming from ‘svsample’
  • Bugfix in ‘predict.svdraws’ and minor changes in documentation thereof

stochvol 2.0.0 2019-02-01

  • New collaborator: Darjus Hosszejni
  • New functionality:
    • leverage effect through ‘svlsample’
    • simulation of asymmetric returns with ‘svsim’
    • prediction using designmatrices and heavy-tails
  • Updated functionality:
    • the exported C++ function ‘update’ uses RcppArmadillo objects and it has been renamed to ‘update_sv’
    • new examples
  • Bugfix:
    • correct plotting after sampling with ‘gammaprior = FALSE’
    • fixed naming of latent states in printing and plotting in the case of time series with conditionally heavy-tailed innovations
    • in ‘svsample’: input check for length of burnin is now fixed (thanks to Nikolas Kuschnig)
    • other small fixes
  • Deprecated:
    • functions ‘arpredict’ and ‘.svsample’
    • parameter ‘thintime’ in function ‘svsample’

stochvol 1.3.4 Unreleased

  • DESCRIPTION file updated.

stochvol 1.3.3 2017-09-18

  • Registered native routines.
  • Thinned graphs in vignette a bit to stay below the required 5MB mark.
  • Workaround for typo appearing in conversion of help files to LaTeX document. Thanks to Evelyn Mitchell for pointing this out.

stochvol 1.3.2 2016-10-26

  • Some more changes in the AWOL sampler because version 1.3.1 appeared to be unstable under Solaris: Sampling of h (including h0) is now done AWOL.
  • Turned progress indicator off again (not sure whether this causes issues with Solaris).

stochvol 1.3.1 2016-10-19

  • Parameter starting values are now set to their respective prior means (if not specified by the user).
  • Sampling h[-0] is now done conditionally on h0. This change should not make a difference for the standard use cases of stochvol but is necessary to yield correct results for the new prior for h0 which was introduced in version 1.3.0.
  • Turned on progress indicator also for Windows (need %% instead of \045 or % to escape a percent symbol in Rprintf).

stochvol 1.3.0 2016-08-24

  • Implemented new prior for initial log-volatility h0. Can be used to stabilize the level of the volatilities, especially when stochvol is used within the context of a more general MCMC algorithm.
  • Shortened the heavytails-vignette (a bit) to stay below the 5MB mark.
  • Fixed error in help files of svsample and svsample2 concerning startpara. Thanks to Dominic Cervicek for pointing this out.

stochvol 1.2.4 Unreleased

  • Fixed typo which appeared in pdf package documentation. Thanks to Stefan Voigt for pointing this out.

stochvol 1.2.3 2016-02-18

  • Updated CITATION to cater for newly published article in the Journal of Statistical Software 69(5), 1-30, doi: 10.18637/jss.v069.i05.
  • The function logret can now handle xts objects. Thanks to Niko Hauzenberger for pointing this out.

stochvol 1.2.2 2016-01-01

  • Fixed bug in initialization of svsample2 that was introduced in 1.2.1. Thanks to John Kerpel for pointing this out.

stochvol 1.2.1 2015-11-27

  • Added option ‘keeptau’ to the store the “variance inflation factors” used for the sampler with conditional t innovations. Thanks to Sergey Egiev for pointing out that this may be useful to at what point(s) in time the normal disturbance had to be “upscaled” by a mixture factor and when the series behaved “normally”.
  • Fixed residuals.svdraws to cater for a potential ‘designmatrix’.

stochvol 1.2.0 2015-07-15

  • Allows for incorporation of a simple mean (regression-type) model. For details, please see ?svsample and ?arpredict. And, hopefully soon, the corresponding vignette.
  • Improved input-checking (somewhat).
  • Argument ‘thintime’ in svsample may now also be ‘firstlast’, meaning that latent volatility draws are only kept for the first and the last point in time.

stochvol 1.1.4 Unreleased

  • Included non-base default packages that are imported in NAMESPACE into DESCRIPTION. Thanks to Kurt Hornik for pointing this out.

stochvol 1.1.3 2015-06-30

  • Fixed a typo in Makefile for building vignettes.

stochvol 1.1.2 2015-06-29

  • Fixed missing imports from non-base default packages.

stochvol 1.1.1 2015-05-23

  • Fixed “uninitialized variable” in function newtonRaphson (progutils.cpp). Warning appeared when building for Windows.
  • Minor changes in main vignette (article.Rnw) so that the included plots have smaller file size and the package does not exceed the 5MB limit (was the case on r-patched-solaris-sparc).

stochvol 1.1.0 2015-05-15

  • Introduced sampling and simulating conditional t-innvoations. (Hopefully) all affected functions
    • svsample
    • svsample2
    • volplot
    • paratraceplot
    • paradensplot
    • plot.svdraws
    • plot.svresid
    • svsim
    • updatesummary
    • predict.svdraws
    • residuals.svdraws
    • print.svsim
    • print.summary.svsim
    • print.summary.svdraws and the corresponding help files have been adapted. See package vignette “heavytails” for details. Still a “beta-feature”, please use with care. Bug reports and/or comments are warmly welcome!
  • The plot functions now take an optional svsim object.
  • predict.svdraws is now in R/utilities_svdraws.R (was in R/plotting.R)

stochvol 1.0.2 Unreleased

  • Fixed some more typos.
  • Plotting functions are now in R/plotting.R

stochvol 1.0.1 Unreleased

  • Updated keywords in vignette.
  • Changed VignetteKeyword entries to adhere to CRAN style guide.

stochvol 1.0.0 2015-01-28

  • First stable release.
  • Minor stylistic changes in package vignette.
  • Updated CITATION file.
  • Version numbering changed from X.Y-Z to X.Y.Z.

stochvol 0.9-2 Unreleased

  • Fixed some typographical errors in help files. Thanks to Angela Bitto for pointing these out.

stochvol 0.9-1 2014-12-27

  • Fixed typographical errors in vignette.
  • Added additional results in Table 1 of vignette.
  • Minor changes in DESCRIPTION to adhere to CRAN style guide.

stochvol 0.9-0 2014-10-16

  • Requires now Rcpp >= 0.11.0 and consequently R >= 3.0.0.
  • Replaced RNGScope in sampler.cpp by “manual” GetRNGstate() and PutRNGstate() statements because the former is not safe if return variables are declared afterwards, cf. https://www.mail-archive.com/rcpp-devel@lists.r-forge.r-project.org/msg07519.html and follow-ups for further information.
  • Minimal overhead sampling function .svsample was renamed to svsample2. The former name will be faded out; please use svsample2 from now on.
  • Substantial rewrite of vignette, especially Section 5; includes now a comparison of SV and GARCH.
  • Updates and corrections in .Rd files.
  • Added some info when package is attached.
  • Sample size is now denoted as “n” instead of “T”, in order to avoid confusion with “TRUE” and/or the transpose symbol.

stochvol 0.8-4 2014-07-01

  • Fixed a bug introduced in version 0.8-2, where I forgot to let .svsample know about the changes in update(…). Thanks to Keiran Thompson for pointing this out.
  • Updated CITATION file.

stochvol 0.8-3 Unreleased

  • Minor changes in vignette.

stochvol 0.8-2 2014-05-16

  • update(…) now takes an additional boolean argument preventing an update of mu (but instead hold mu = 0 fixed). This feature is needed e.g. for factor stochastic volatility models.
  • C++ function “update” rewritten to use ordinary pointers instead of Rcpp objects. This became necessary because Rcpp objects cannot be constructed re-using memory due to the SEXPREC structure. See https://www.mail-archive.com/rcpp-devel@lists.r-forge.r-project.org/msg06811.html and follow-ups for a more detailed explanation.

stochvol 0.8-1 2014-02-07

  • Added a -I directive for compiler in Makevars.win so that winbuilder finds headers in inst/include/.
  • Re-ran all code used in vignette.

stochvol 0.8-0 2014-02-06

  • Re-structured main sampler code in sampler.cpp: new function “update” performs a single MCMC iteration. Additionally, this function is also made available to be called by C/C++ code in another package. To use this function within C/C++ code, simply #include <update.h> (defined in inst/include) in the C/C++ code of your package, which itself Imports:/Depends: stochvol (>= 0.8). See package factorstochvol for an example using this mechanism.
  • Minor stylistic changes in helper functions and subroutines at C++-level).
  • Fixed a minor bug in sampler.cpp where regressionNoncentered returned sigma instead of fabs(sigma) when phi is drawn outside of the unit sphere.
  • Fixed DESCRIPTION to Import: Rcpp (instead of Depend:).
  • Fixed NAMESPACE: Now has “importFrom(Rcpp, evalCpp)” as required by Rcpp 0.11.0.

stochvol 0.7-2 Unreleased

  • Updated CITATION file.
  • Updated vignette (mainly stylistic changes).

stochvol 0.7-1 2013-10-22

  • Manual is now provided as a vignette.

stochvol 0.7-0 2013-10-10

  • Added a manual.
  • Changed the default prior for mu from c(-10, 3) to c(0, 100) to avoid disaster when percentage log-returns (instead of log-returns) are used but the prior is not adapted accordingly.
  • Included the date in the exrates dataset.
  • Changed svsample to also accept vectors with zero-returns; it throws a warning now (instead of an error) and adds an offset constant.
  • Fixed plot.svdraws to reset par to old values.
  • Added a “residual plot” feature. Thanks to Hedibert Lopes for pointing this out.
  • Added the convenience function “logret” for taking log-returns of a given series, with the possibility of de-meaning.
  • Cleaned up summary.svdraws, which now returns a “summary.svdraws” object. For actual printing, print.summary.svdraws is used.
  • Cleaned up summary.svsim, which now returns a “summary.svsim” object. For actual printing, print.summary.svsim is used.

stochvol 0.6-1 2013-07-09

  • Fixed typo in wrapper.R which previously disallowed changing the “expert” argument “proposalvar4sigmaphi”: Replaced “proposalvar2sigmaphi” by “proposalvar4sigmaphi” on line 76.
  • Included EUR exchange rates from the European Bank’s Statistical Data Warehouse. Use with “data(exrates)”.
  • Added CITATION file.
  • Replaced Rprintf by REprintf and cat(…) by cat(…, file=stderr()) for status reports. Thanks to Kurt Hornik for pointing this out.

stochvol 0.6-0 2013-04-17

  • Introduced “.svsample” for minimal overhead sampling. Intended to be used as a plug-in into other MCMC samplers. No input checking, use with proper care!
  • Disabled progress bar in non-Unix-like systems due to problems with console flushing.
  • Some bug fixes for solaris. Seems to build fine now. Thanks to Brian Ripley for reporting the bugs.

stochvol 0.5-1 2013-01-28

  • Replaced all paste0(…) calls by paste(…, sep=’’) for compatibility reasons.

stochvol 0.5-0 2013-01-23

  • First CRAN release version.