# stochvol 3.2.8

- Adopt changes necessary for RcppArmadillo 15

# stochvol 3.2.7

- Fix bug introduced in 3.2.6 that caused the sampler to crash
  sometimes when all parameters were assumed to be constant.
  CRAN's UBSan check revealed that the sampler did not handle
  the case correctly.

# stochvol 3.2.6

- Bugfix in the post-processing step of the sampler for the
  rare case that all parameters are assumed to be constant.
  Thanks to Luis Gruber.

# stochvol 3.2.5

- 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 3.2.4

- Remove 'is.R' from the code on CRAN member request

# stochvol 3.2.3

- 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 3.2.1

- 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 3.2.0

- 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

- 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

- Correct wrongly submitted vignettes

# stochvol 3.0.5

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

# stochvol 3.0.4

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

# stochvol 3.0.3

- Bugfix in 'svsample' when the input data contains 0s

# stochvol 3.0.2

- 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

- Bugfix for calls to 'svsample' with draws = 1
- Fix some #include directives
- Avoid compilation problems on Solaris

# stochvol 3.0.0

- 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 2.0.4

- 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

- 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

- Bugfix in 'predict.svdraws'

# stochvol 2.0.1

- 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

- 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 1.3.3

- 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

- 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

- 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

- 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 1.2.3

- 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

- 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

- 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

- 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 1.1.3

- Fixed a typo in Makefile for building vignettes.

# stochvol 1.1.2

- Fixed missing imports from non-base default packages.

# stochvol 1.1.1

- 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

- 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 1.0.0

- 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 0.9-1

- 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

- 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

- 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 0.8-2

- 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

- 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

- 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 0.7-1

- Manual is now provided as a vignette.

# stochvol 0.7-0

- 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

- 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

- 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

- Replaced all paste0(...) calls by paste(..., sep='') for
  compatibility reasons.

# stochvol 0.5-0

- First CRAN release version.
