Bugfix in the fast sampler. In the centered parameterization, the proposal distribution for parameters phi and mu did not have the documented variance. Thanks to Luis Gruber.
Bugfix ‘print.svdraws’ for the case when re-sampling was done. Underflow may have occurred.
stochvol 3.2.42024-03-03
Remove ‘is.R’ from the code on CRAN member request
stochvol 3.2.32023-11-26
Minor changes and fixes in the documentation
Bugfix in the indexing of svsample_roll() for expanding window estimation. Thanks to Weixian Nie.
stochvol 3.2.2
Bugfix in the validation of the inverted gamma prior for sigma^2. Thanks to A. Slavik.
stochvol 3.2.12023-03-10
Minor adaptions to NEWS.md to comply with NEWS extractor ‘tools:::.build_news_db_from_package_NEWS_md’
Export further C++ functions ‘cholesky_tridiagonal’, ‘forward_algorithm’, ‘backward_algorithm’, ‘inverse_transform_sampling’, ‘find_mixture_indicator_cdf’
Bugfix in ‘print.svsim’
stochvol 3.2.02021-11-26
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 3.1.02021-07-12
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 3.0.62021-05-20
Correct wrongly submitted vignettes
stochvol 3.0.52021-05-16
Re-added first vignette with the necessary updates
Bugfix in ‘residuals.svdraws’ and ‘plot.svresid’; thanks to David Zoltan Szabo
stochvol 3.0.42021-02-09
Updated vignette
Prevent some compilation warnings
Updated CITATION file
stochvol 3.0.32020-11-24
Bugfix in ‘svsample’ when the input data contains 0s
stochvol 3.0.22020-11-17
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 3.0.12020-11-04
Bugfix for calls to ‘svsample’ with draws = 1
Fix some #include directives
Avoid compilation problems on Solaris
stochvol 3.0.02020-11-03
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
Bugfix in predict when a constant mean model is used for prediction
Test suite added
Updated CITATION file
stochvol 2.0.42019-06-26
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 2.0.32019-05-29
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 2.0.22019-03-27
Bugfix in ‘predict.svdraws’
stochvol 2.0.12019-02-26
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 2.0.02019-02-01
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
DESCRIPTION file updated.
stochvol 1.3.32017-09-18
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 1.3.22016-10-26
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 1.3.12016-10-19
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 1.3.02016-08-24
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
Fixed typo which appeared in pdf package documentation. Thanks to Stefan Voigt for pointing this out.
stochvol 1.2.32016-02-18
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 1.2.22016-01-01
Fixed bug in initialization of svsample2 that was introduced in 1.2.1. Thanks to John Kerpel for pointing this out.
stochvol 1.2.12015-11-27
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 1.2.02015-07-15
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
Included non-base default packages that are imported in NAMESPACE into DESCRIPTION. Thanks to Kurt Hornik for pointing this out.
stochvol 1.1.32015-06-30
Fixed a typo in Makefile for building vignettes.
stochvol 1.1.22015-06-29
Fixed missing imports from non-base default packages.
stochvol 1.1.12015-05-23
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 1.1.02015-05-15
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
Fixed some more typos.
Plotting functions are now in R/plotting.R
stochvol 1.0.1
Updated keywords in vignette.
Changed VignetteKeyword entries to adhere to CRAN style guide.
stochvol 1.0.02015-01-28
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
Fixed some typographical errors in help files. Thanks to Angela Bitto for pointing these out.
stochvol 0.9-12014-12-27
Fixed typographical errors in vignette.
Added additional results in Table 1 of vignette.
Minor changes in DESCRIPTION to adhere to CRAN style guide.
stochvol 0.9-02014-10-16
Requires now Rcpp >= 0.11.0 and consequently R >= 3.0.0.
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 0.8-42014-07-01
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
Minor changes in vignette.
stochvol 0.8-22014-05-16
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 0.8-12014-02-07
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 0.8-02014-02-06
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
Updated CITATION file.
Updated vignette (mainly stylistic changes).
stochvol 0.7-12013-10-22
Manual is now provided as a vignette.
stochvol 0.7-02013-10-10
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 0.6-12013-07-09
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 0.6-02013-04-17
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 0.5-12013-01-28
Replaced all paste0(…) calls by paste(…, sep=’’) for compatibility reasons.