Hi, All:
FinTS version 0.2-7 is now available on CRAN. This version adds two
new functions:
* ArchTest to compute the Engle (1982) Lagrange multiplier test for
conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with
examples on those pages worked in the R script in
"~R\library\FinTS\scripts\ch03.R", where "~R" is your local R
installation directory. The code for this was kindly provided by
Bernhard Pfaff.
* Acf and plot.Acf to plot the autocorrelation function without the
noninformative unit spike at lag 0, facilitating the production of many
ACF plots in Tsay (2005) Analysis of Financial
Time Series, 2nd ed. (Wiley) that follow this secondary standard.
Spencer Graves
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