GAS: Generalized Autoregressive Score Models

Simulate, estimate and forecast using univariate and multivariate GAS models.

AuthorLeopoldo Catania [aut,cre], Kris Boudt [ctb], David Ardia [ctb]
Date of publication2016-11-19 14:43:53
MaintainerLeopoldo Catania <leopoldo.catania@uniroma2.it>
LicenseGPL-3
Version0.1.5

View on CRAN

Man pages

BacktestDensity: Backtest a series of one-step ahead density predictions.

BacktestVaR: Backtest Value at Risk (VaR)

Bounds: Numerical bounds imposed in parameters transformation.

ConfidenceBands: Build confidence bands for the filtered parameters

cpichg: Data: Quarterly logarithmic change in percentage points of...

DistInfo: Information for the supported distributions

Distributions: Distributions of the GAS package

dji30ret: data: Dow Jones 30 Constituents Closing Value Log Return

GAS-package: Generalized Autoregressive Score models in R

mGASFit-class: Class for the Multivariate GAS fitted object

mGASFor-class: Class for the Multivariate GAS Forecast object

mGASRoll-class: Class for the Multivariate GAS Rolling object

mGASSim-class: Class for Multivariate GAS Simulation

mGASSpec-class: Class for the Multivariate GAS model specification

MultiGASFit: Estimate multivariate GAS models

MultiGASFor: Forecast with multivariate GAS models

MultiGASRoll: Rolling forecast with multivariate GAS models

MultiGASSim: Simulate multivariate GAS processes

MultiGASSpec: Multivariate GAS specification

MultiMapParameters: Mapping function for univariate distributions

MultiUnmapParameters: Inverse of MultiMapParameters

PIT_test: Goodness of fit for conditional densities

sp500ret: Data: Daily logarithmic returns in percentage points of the...

sp500rv: Data: SP500 Daily 5 minutes Realized Volatility from...

StockIndices: Data: Daily logarithmic returns in percentage points of the...

tqdata: Data from Bien et al (2011).

uGASFit-class: Class for the univariate GAS fitted object

uGASFor-class: Class for the univariate GAS forecast object

uGASRoll-class: Class for the univariate GAS rolling object

uGASSim-class: Class for Univariate GAS Simulation

uGASSpec-class: Class for the univariate GAS model specification

UniGASFit: Estimate univariate GAS models

UniGASFor: Forecast with univariate GAS models

UniGASRoll: Rolling forecast with univariate GAS models

UniGASSim: Simulate Univariate GAS processes

UniGASSpec: Univariate GAS specification

UniMapParameters: Mapping function for univariate distributions

UniUnmapParameters: Unmapping function for univariate distributions, i.e. inverse...

usunp: US Monthly Civilian Unemployment Rate (UNRATE) from...

Files in this package

GAS
GAS/inst
GAS/inst/test
GAS/inst/test/SimulateGAS.R
GAS/inst/test/Mapping.R
GAS/inst/test/Filter_R.R
GAS/inst/test/Estimate.R
GAS/inst/test/InformationMatrixTest.R
GAS/inst/test/Simulation.R
GAS/inst/test/ScoreTest.R
GAS/inst/test/Forecast.R
GAS/inst/doc
GAS/inst/doc/AddNewDistribution.pdf
GAS/inst/doc/VaRPrediction_0.1.5.pdf
GAS/inst/doc/GAS_vignette_0.1.4.Rnw
GAS/inst/doc/GAS_vignette_0.1.4.pdf
GAS/inst/doc/VaRPrediction_0.1.5.Rnw
GAS/inst/doc/AddNewDistribution.Rnw
GAS/src
GAS/src/GASInnovation.cpp
GAS/src/poi.h
GAS/src/Makevars
GAS/src/exp.cpp
GAS/src/Utils.h
GAS/src/std.h
GAS/src/GASInnovation.h
GAS/src/crps.cpp
GAS/src/ast.h
GAS/src/norm.h
GAS/src/snorm.cpp
GAS/src/ast.cpp
GAS/src/snorm2.cpp
GAS/src/Quantiles.cpp
GAS/src/sstd.h
GAS/src/snorm.h
GAS/src/Optimiser.cpp
GAS/src/ScoreWrap.cpp
GAS/src/sstd.cpp
GAS/src/Filters.cpp
GAS/src/mvnorm.cpp
GAS/src/ald.h
GAS/src/DistWrap.cpp
GAS/src/DistWrap.h
GAS/src/gamma.cpp
GAS/src/ScoreWrap.h
GAS/src/Mapping.h
GAS/src/Moments.cpp
GAS/src/ber.cpp
GAS/src/Density.cpp
GAS/src/Utils.cpp
GAS/src/SafeFun.cpp
GAS/src/IMWrap.cpp
GAS/src/PIT.cpp
GAS/src/IMWrap.h
GAS/src/Simulate.cpp
GAS/src/SafeFun.h
GAS/src/beta.h
GAS/src/std.cpp
GAS/src/Mapping.cpp
GAS/src/beta.cpp
GAS/src/mvnorm.h
GAS/src/ald.cpp
GAS/src/Makevars.win
GAS/src/Forecast.cpp
GAS/src/poi.cpp
GAS/src/RcppExports.cpp
GAS/src/gamma.h
GAS/src/mvt.h
GAS/src/ber.h
GAS/src/norm.cpp
GAS/src/exp.h
GAS/src/mvt.cpp
GAS/NAMESPACE
GAS/data
GAS/data/cpichg.rda
GAS/data/sp500ret.rda
GAS/data/StockIndices.rda
GAS/data/usunp.rda
GAS/data/tqdata.rda
GAS/data/dji30ret.rda
GAS/data/sp500rv.rda
GAS/R
GAS/R/Testing.R GAS/R/Utils.R GAS/R/ParameterConstraints.R GAS/R/Extractors.R GAS/R/Simulate.R GAS/R/StartingValues.R GAS/R/DistWrapper.R GAS/R/ClassMethods.R GAS/R/Inference.R GAS/R/Figures.R GAS/R/Distributions.R GAS/R/ParameterTransformation.R GAS/R/Estimate.R GAS/R/RcppExports.R GAS/R/ConfidenceBands.R GAS/R/BackTest.R GAS/R/OptimiserWrap.R GAS/R/GASspec.R GAS/R/Forecast.R GAS/R/ParNames.R
GAS/vignettes
GAS/vignettes/GAS_vignette_0.1.4.Rnw
GAS/vignettes/VaR_GE.pdf
GAS/vignettes/RJournal.sty
GAS/vignettes/VaRPrediction_0.1.5.Rnw
GAS/vignettes/CumLogScore_Multi.pdf
GAS/vignettes/AddNewDistribution.Rnw
GAS/MD5
GAS/build
GAS/build/vignette.rds
GAS/build/partial.rdb
GAS/DESCRIPTION
GAS/ChangeLog
GAS/man
GAS/man/MultiMapParameters.Rd GAS/man/mGASSpec-class.Rd GAS/man/UniMapParameters.Rd GAS/man/mGASFor-class.Rd GAS/man/UniUnmapParameters.Rd GAS/man/uGASFor-class.Rd GAS/man/ConfidenceBands.Rd GAS/man/MultiUnmapParameters.Rd GAS/man/uGASSim-class.Rd GAS/man/DistInfo.Rd GAS/man/dji30ret.Rd GAS/man/cpichg.Rd GAS/man/mGASSim-class.Rd GAS/man/uGASFit-class.Rd GAS/man/mGASFit-class.Rd GAS/man/usunp.Rd GAS/man/uGASRoll-class.Rd GAS/man/UniGASRoll.Rd GAS/man/sp500ret.Rd GAS/man/MultiGASSim.Rd GAS/man/BacktestDensity.Rd GAS/man/MultiGASRoll.Rd GAS/man/MultiGASFor.Rd GAS/man/Bounds.Rd GAS/man/tqdata.Rd GAS/man/mGASRoll-class.Rd GAS/man/StockIndices.Rd GAS/man/BacktestVaR.Rd GAS/man/Distributions.Rd GAS/man/UniGASSim.Rd GAS/man/MultiGASSpec.Rd GAS/man/MultiGASFit.Rd GAS/man/GAS-package.Rd GAS/man/UniGASFor.Rd GAS/man/uGASSpec-class.Rd GAS/man/UniGASFit.Rd GAS/man/sp500rv.Rd GAS/man/UniGASSpec.Rd GAS/man/PIT_test.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.