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] (<>), David Ardia [ctb] (<>), Kris Boudt [ctb] (<>)
MaintainerLeopoldo Catania <>
Package repositoryView on CRAN
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GAS documentation built on April 28, 2020, 1:08 a.m.