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 publication2017-03-26 07:30:49 UTC
MaintainerLeopoldo Catania <leopoldo.catania@uniroma2.it>
LicenseGPL-3
Version0.1.6
https://github.com/LeopoldoCatania/GAS

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

fn.solnp: A wrapper to the solnp function of the 'Rsolnp' package of...

GAS-package: Generalized Autoregressive Score models in R

method-plot: Plot output from an object of the from the GAS package.

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...

Functions

BacktestDensity Man page
BacktestVaR Man page
build_mR Man page
build_vR Man page
coef,mGASFit-method Man page
coef,mGASRoll-method Man page
coef,mGASSim-method Man page
coef,uGASFit-method Man page
coef,uGASRoll-method Man page
coef,uGASSim-method Man page
ConfidenceBands Man page
convergence Man page
convergence,mGASFit-method Man page
convergence,uGASFit-method Man page
cpichg Man page
ddist_Multi Man page
ddist_Uni Man page
DistInfo Man page
DistLabels Man page
DistName Man page
DistParameters Man page
distributions Man page
DistScalingType Man page
DistType Man page
dji30ret Man page
fn.solnp Man page
GAS Man page
GAS-package Man page
getFilteredParameters Man page
getFilteredParameters,mGASFit-method Man page
getFilteredParameters,mGASSim-method Man page
getFilteredParameters,uGASFit-method Man page
getFilteredParameters,uGASSim-method Man page
getForecast Man page
getForecast,mGASFor-method Man page
getForecast,mGASRoll-method Man page
getForecast,uGASFor-method Man page
getForecast,uGASRoll-method Man page
getMoments Man page
getMoments,mGASFit-method Man page
getMoments,mGASFor-method Man page
getMoments,mGASRoll-method Man page
getMoments,mGASSim-method Man page
getMoments,uGASFit-method Man page
getMoments,uGASFor-method Man page
getMoments,uGASRoll-method Man page
getMoments,uGASSim-method Man page
getObs Man page
getObs,mGASFit-method Man page
getObs,mGASSim-method Man page
getObs,uGASFit-method Man page
getObs,uGASFor-method Man page
getObs,uGASRoll-method Man page
getObs,uGASSim-method Man page
IM_Uni Man page
LogScore Man page
LogScore,mGASFor-method Man page
LogScore,mGASRoll-method Man page
LogScore,uGASFor-method Man page
LogScore,uGASRoll-method Man page
LowerA Man page
LowerB Man page
LowerNu Man page
MapR_C Man page
mdist_Uni Man page
mGASFit Man page
mGASFit-class Man page
mGASFor Man page
mGASFor-class Man page
mGASMultiForcast Man page
mGASRoll Man page
mGASRoll-class Man page
mGASSim Man page
mGASSim-class Man page
mGASSpec Man page
mGASSpec-class Man page
MultiGASFit Man page
MultiGASFor Man page
MultiGASRoll Man page
MultiGASSim Man page
MultiGASSpec Man page
MultiMapParameters Man page
MultiUnmapParameters Man page
NumberParameters Man page
NumericalBounds Man page
pdist_Uni Man page
pit Man page
PIT_test Man page
pit,uGASFit-method Man page
pit,uGASFor-method Man page
pit,uGASRoll-method Man page
plot Man page
PlotMenu Man page
plot,mGASFit,missing-method Man page
plot,mGASFor,missing-method Man page
plot,mGASRoll,missing-method Man page
plot,mGASSim,missing-method Man page
plot,uGASFit,missing-method Man page
plot,uGASFor,missing-method Man page
plot,uGASRoll,missing-method Man page
plot,uGASSim,missing-method Man page
qdist_Uni Man page
Quantiles Man page
quantile,uGASFit-method Man page
quantile,uGASFor-method Man page
quantile,uGASRoll-method Man page
quantile,uGASSim-method Man page
rdist_Multi Man page
rdist_Uni Man page
residuals Man page
residuals,mGASFit-method Man page
residuals,mGASRoll-method Man page
residuals,uGASFit-method Man page
residuals,uGASRoll-method Man page
rmvt_mat Man page
Score_Multi Man page
Score_Uni Man page
show,mGASFit-method Man page
show,mGASFor-method Man page
show,mGASRoll-method Man page
show,mGASSim-method Man page
show,mGASSpec-method Man page
show,uGASFit-method Man page
show,uGASFor-method Man page
show,uGASRoll-method Man page
show,uGASSim-method Man page
show,uGASSpec-method Man page
sp500ret Man page
sp500rv Man page
StockIndices Man page
summary,mGASFit-method Man page
summary,uGASFit-method Man page
tqdata Man page
uGASFit Man page
uGASFit-class Man page
uGASFor Man page
uGASFor-class Man page
uGASMultiForcast Man page
uGASRoll Man page
uGASRoll-class Man page
uGASSim Man page
uGASSim-class Man page
uGASSpec Man page
uGASSpec-class Man page
UniGASFit Man page
UniGASFor Man page
UniGASRoll Man page
UniGASSim Man page
UniGASSpec Man page
UniMapParameters Man page
UniUnmapParameters Man page
UnMapR_C Man page
UpperA Man page
UpperB Man page
UpperNu Man page
usunp Man page

Files

GAS
GAS/inst
GAS/inst/CITATION
GAS/inst/doc
GAS/inst/doc/AddNewDistribution.pdf
GAS/inst/doc/VaRPrediction_0.1.5.pdf
GAS/inst/doc/VaRPrediction_0.1.5.Rnw
GAS/inst/doc/GAS_vignette_0.1.6.pdf
GAS/inst/doc/GAS_vignette_0.1.6.Rnw
GAS/inst/doc/AddNewDistribution.Rnw
GAS/inst/ExtensionTests
GAS/inst/ExtensionTests/run_Forecast.R
GAS/inst/ExtensionTests/run_Estimate.R
GAS/inst/ExtensionTests/run_SimulateGAS.R
GAS/inst/ExtensionTests/run_InformationMatrix.R
GAS/tests
GAS/tests/testthat.R
GAS/tests/testthat
GAS/tests/testthat/test_Score.R
GAS/tests/testthat/test_Forecast.R
GAS/tests/testthat/test_Simulate.R
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/registerDynamicSymbols.c
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/Likelihood.R GAS/R/GASspec.R GAS/R/OptimiserWrapper.R GAS/R/Forecast.R GAS/R/ParNames.R
GAS/vignettes
GAS/vignettes/Figure1.pdf
GAS/vignettes/VaR_GE.pdf
GAS/vignettes/RJournal.sty
GAS/vignettes/VaRPrediction_0.1.5.Rnw
GAS/vignettes/GAS_vignette_0.1.6.Rnw
GAS/vignettes/AddNewDistribution.Rnw
GAS/README.md
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/method-plot.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/fn.solnp.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

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