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New version 2.4

Bug fix in the mapping function of gjrGARCH for some parameters configuration
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LeopoldoCatania
LeopoldoCatania committed Jun 1, 2018
1 parent 1b5167b commit 3ea2315da080eef4931eb40bbcbbd6f06df036cb
Showing with 9 additions and 3 deletions.
  1. +1 −1 Package/DESCRIPTION
  2. +4 −0 { → Package}/MSGARCH.Rproj
  3. +2 −0 Package/NEWS
  4. +2 −2 Package/R/ParameterTransformation.R
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@@ -1,7 +1,7 @@
Package: MSGARCH
Type: Package
Title: Markov-Switching GARCH Models
Version: 2.3
Version: 2.4
Date: 2018-05-15
Authors@R: c(person("David", "Ardia", role = c("aut"),
email = "david.ardia.ch@gmail.com"),
@@ -11,3 +11,7 @@ Encoding: UTF-8
RnwWeave: Sweave
LaTeX: pdfLaTeX
BuildType: Package
PackageUseDevtools: Yes
PackageInstallArgs: --no-multiarch --with-keep.source
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@@ -1,3 +1,5 @@
Changes in Version 2.4
o Bug fix in the mapping function of gjrGARCH for some parameters configuration
Changes in Version 2.3
o Alexios added as contributor
o run_jss.R file updated
@@ -469,7 +469,7 @@ f_pw2pn_gjrGARCH_SR <- function(vPw, k, skew = NULL, shape = NULL, sDist) {
dAlpha0 = exp(dAlpha0_tilde)
dAlpha1 = f_map(dAlpha1_tilde, 1e-10, 0.9999)[1, 1]
dAlpha2 = f_map(dAlpha2_tilde, 1e-10, 0.9999 - dAlpha1)[1, 1]
dAlpha2 = f_map(dAlpha2_tilde, 1e-10, 2.0 * (0.9999 - dAlpha1))[1, 1]
dBeta = f_map(dBeta_tilde, 1e-10, 0.9999 - dAlpha1 - dAlpha2 * dCdf)[1, 1]
@@ -500,7 +500,7 @@ f_pn2pw_gjrGARCH_SR <- function(vPn, k, skew = NULL, shape = NULL, sDist) {
dAlpha0_tilde = log(dAlpha0)
dAlpha1_tilde = f_unmap(dAlpha1, 1e-10, 0.9999)[1, 1]
dAlpha2_tilde = f_unmap(dAlpha2, 1e-10, 0.9999 - dAlpha1)[1, 1]
dAlpha2_tilde = f_unmap(dAlpha2, 1e-10, 2.0 * (0.9999 - dAlpha1))[1, 1]
dBeta_tilde = f_unmap(dBeta, 1e-10, 0.9999 - dAlpha1 - dAlpha2 * dCdf)[1, 1]

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