GAS: Generalized Autoregressive Score Models

Simulate, estimate and forecast using univariate and multivariate GAS models as described in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.

Package details

AuthorLeopoldo Catania [aut, cre] (<https://orcid.org/0000-0002-1000-5142>), David Ardia [ctb] (<https://orcid.org/0000-0003-2823-782X>), Kris Boudt [ctb] (<https://orcid.org/0000-0002-1000-5142>)
MaintainerLeopoldo Catania <leopoldo.catania@econ.au.dk>
LicenseGPL-3
Version0.3.3
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 April 28, 2020, 1:08 a.m.