GAS: Generalized Autoregressive Score Models

Simulate, estimate and forecast using univariate and multivariate GAS models as described in Ardia et al. (2016) <https://ssrn.com/abstract=2825380>.

Package details

AuthorLeopoldo Catania [aut,cre], Kris Boudt [ctb], David Ardia [ctb]
MaintainerLeopoldo Catania <[email protected]>
LicenseGPL-3
Version0.2.9
URL https://github.com/LeopoldoCatania/GAS
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("GAS")

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GAS documentation built on Sept. 21, 2018, 6:26 p.m.