v2.1.0

ARCHModels v2.1.0

Diff since v2.0.1

v2.0.1

ARCHModels v2.0.1

Diff since v2.0.0

v2.0.0

ARCHModels v2.0.0

Diff since v1.4.2

Closed issues:

• meanspect = Intercept() doesn't work? (#93)
• Use PreallocationTools.jl (#96)
• Multi-step predict for volatility (#97)

Merged pull requests:

• Predict (#98) (@s-broda)
• Updates for 1.7 (#99) (@s-broda)

v1.4.2

ARCHModels v1.4.2

Diff since v1.4.1

Closed issues:

• Performance of simulate for DCC (#92)

v1.4.1

ARCHModels v1.4.1

Diff since v1.4.0

Closed issues:

• Addition of skewed distributions for the innovation terms (#87)
• work with high frequency data (#89)

Merged pull requests:

• commit Bollerslev and Ghysels(JBES 1996) dataset to repo instead of downloading (#90) (@chm-von-tla)

v1.4.0

ARCHModels v1.4.0

Diff since v1.3.0

Merged pull requests:

• Add Hansen's Standardized Skewed T Distribution (#86) (@chm-von-tla)

v1.3.0

ARCHModels v1.3.0

Diff since v1.2.3

Closed issues:

• Multi-step forecast error (#84)

Merged pull requests:

• add multi-step predictions for returns and VaR (#83) (@SebRollen)

v1.2.3

ARCHModels v1.2.3

Diff since v1.2.2

v1.2.2

ARCHModels v1.2.2

Diff since v1.2.1

v1.2.1

ARCHModels v1.2.1

Diff since v1.2.0