Skip to content

Release 4.3
Compare
Choose a tag to compare
@bashtage bashtage released this 13 Dec 22:17
4.3
16a7fd3
  • Fixed a bug that prevented 1-step forecasts with exogenous regressors
  • Added the Generalized Error Distribution for univariate ARCH models
  • Fixed a bug in MCS when using the max method that prevented all included models from being
    listed
  • Added FixedVariance volatility process which allows pre-specified variances to be used with
    a mean model. This has been added to allow so-called zig-zag estimation where a mean model is
    estimated with a fixed variance, and then a variance model is estimated on the residuals using
    a ZeroMean variance process.
Assets 2
Loading