Last updated on 2025-12-06 00:48:36 CET.
| Flavor | Version | Tinstall | Tcheck | Ttotal | Status | Flags |
|---|---|---|---|---|---|---|
| r-devel-linux-x86_64-debian-clang | 0.5 | 2.15 | 42.60 | 44.75 | OK | |
| r-devel-linux-x86_64-debian-gcc | 0.5 | 1.72 | 25.45 | 27.17 | ERROR | |
| r-devel-linux-x86_64-fedora-clang | 0.5 | 66.38 | OK | |||
| r-devel-linux-x86_64-fedora-gcc | 0.5 | 74.93 | OK | |||
| r-devel-windows-x86_64 | 0.5 | 3.00 | 74.00 | 77.00 | OK | |
| r-patched-linux-x86_64 | 0.5 | 2.46 | 37.41 | 39.87 | OK | |
| r-release-linux-x86_64 | 0.5 | 1.92 | 40.02 | 41.94 | OK | |
| r-release-macos-arm64 | 0.5 | OK | ||||
| r-release-macos-x86_64 | 0.5 | 3.00 | 73.00 | 76.00 | OK | |
| r-release-windows-x86_64 | 0.5 | 4.00 | 72.00 | 76.00 | OK | |
| r-oldrel-macos-arm64 | 0.5 | OK | ||||
| r-oldrel-macos-x86_64 | 0.5 | 2.00 | 44.00 | 46.00 | OK | |
| r-oldrel-windows-x86_64 | 0.5 | 4.00 | 81.00 | 85.00 | OK |
Version: 0.5
Check: examples
Result: ERROR
Running examples in ‘cvar-Ex.R’ failed
The error most likely occurred in:
> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: predict.garch1c1
> ### Title: Prediction for GARCH(1,1) time series
> ### Aliases: predict.garch1c1
>
> ### ** Examples
>
> op <- options(digits = 4)
>
> ## set up a model and simulate a time series
> mo <- GarchModel(omega = 0.4, alpha = 0.3, beta = 0.5)
> a1 <- sim_garch1c1(mo, n = 1000, n.start = 100, seed = 20220305)
>
> ## predictions for T+1,...,T+5 (T = time of last value)
> ## Nsim is small to reduce the load on CRAN, usually Nsim is larger.
> a.pred <- predict(mo, n.ahead = 5, Nsim = 1000, eps = a1$eps,
+ sigmasq = a1$h, seed = 1234)
>
> ## preditions for the time series
> a.pred$eps
[1] 0 0 0 0 0
>
> ## PI's for eps - plug-in and simulated
> a.pred$pi_plugin
lwr upr
[1,] -2.484 2.484
[2,] -2.544 2.544
[3,] -2.591 2.591
[4,] -2.628 2.628
[5,] -2.658 2.658
> a.pred$pi_sim
2.5% 97.5%
[1,] -2.447 2.465
[2,] -2.662 2.559
[3,] -2.426 2.624
[4,] -2.538 2.370
[5,] -2.645 2.637
>
> ## a DIY calculation of PI's using the simulated sample paths
> t(apply(a.pred$dist_sim$eps, 1, function(x) quantile(x, c(0.025, 0.975))))
2.5% 97.5%
[1,] -2.447 2.465
[2,] -2.662 2.559
[3,] -2.426 2.624
[4,] -2.538 2.370
[5,] -2.645 2.637
>
> ## further investigate the predictive distributions
> t(apply(a.pred$dist_sim$eps, 1, function(x) summary(x)))
Min. 1st Qu. Median Mean 3rd Qu. Max.
[1,] -3.922 -0.8366 -0.064571 -0.004804 0.8683 4.050
[2,] -6.755 -0.8333 0.055137 0.012828 0.8895 4.320
[3,] -5.198 -0.8541 -0.015145 -0.004674 0.8138 4.290
[4,] -3.786 -0.8596 -0.001705 -0.029519 0.7609 4.241
[5,] -5.000 -0.8314 -0.019039 -0.016285 0.7956 4.860
>
> ## compare predictive densities for horizons 2 and 5:
> h2 <- a.pred$dist_sim$eps[2, ]
> h5 <- a.pred$dist_sim$eps[5, ]
> main <- "Predictive densities: horizons 2 (blue) and 5 (black)"
> plot(density(h5), main = main)
> lines(density(h2), col = "blue")
>
> ## predictions of sigma_t^2
> a.pred$h
[1] 1.606 1.685 1.748 1.798 1.839
>
> ## plug-in predictions of sigma_t
> sqrt(a.pred$h)
[1] 1.267 1.298 1.322 1.341 1.356
>
> ## simulation predictive densities (PD's) of sigma_t for horizons 2 and 5:
> h2 <- sqrt(a.pred$dist_sim$h[2, ])
> h5 <- sqrt(a.pred$dist_sim$h[5, ])
> main <- "PD's of sigma_t for horizons 2 (blue) and 5 (black)"
> plot(density(h2), col = "blue", main = main)
> lines(density(h5))
>
> ## VaR and ES for different horizons
> cbind(h = 1:5,
+ VaR = apply(a.pred$dist_sim$eps, 1, function(x) VaR(x, c(0.05))),
+ ES = apply(a.pred$dist_sim$eps, 1, function(x) ES(x, c(0.05))) )
h VaR ES
[1,] 1 2.077 2.593
[2,] 2 2.075 2.972
[3,] 3 2.106 2.651
[4,] 4 2.066 2.680
[5,] 5 2.167 2.886
>
> ## fit a GARCH(1,1) model to exchange rate data and predict
> gmo1 <- fGarch::garchFit(formula = ~garch(1, 1), data = fGarch::dem2gbp,
+ include.mean = FALSE, cond.dist = "norm", trace = FALSE)
Error in loadNamespace(x) : there is no package called ‘fGarch’
Calls: loadNamespace -> withRestarts -> withOneRestart -> doWithOneRestart
Execution halted
Flavor: r-devel-linux-x86_64-debian-gcc
Version: 0.5
Check: tests
Result: ERROR
Running ‘testthat.R’ [1s/1s]
Running the tests in ‘tests/testthat.R’ failed.
Complete output:
> library(testthat)
> library(cvar)
>
> test_check("cvar")
Failed with error: 'there is no package called 'fGarch''
Saving _problems/test-garch-54.R
[ FAIL 1 | WARN 0 | SKIP 0 | PASS 20 ]
══ Failed tests ════════════════════════════════════════════════════════════════
── Error ('test-garch.R:54:5'): garch1c1 related functions work ok ─────────────
Error in `.get_dist_elem("std", "r")`: requested distribution property needs package fGarch
please install package 'fGarch' and try again
Backtrace:
▆
1. └─cvar:::.get_dist_elem("std", "r") at test-garch.R:54:5
[ FAIL 1 | WARN 0 | SKIP 0 | PASS 20 ]
Error:
! Test failures.
Execution halted
Flavor: r-devel-linux-x86_64-debian-gcc
Version: 0.5
Check: HTML version of manual
Result: NOTE
Skipping checking math rendering: package 'V8' unavailable
Flavor: r-devel-linux-x86_64-debian-gcc