GAS: Generalized Autoregressive Score Models

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

Author
Leopoldo Catania [aut,cre], Kris Boudt [ctb], David Ardia [ctb]
Date of publication
2016-11-19 14:43:53
Maintainer
Leopoldo Catania <leopoldo.catania@uniroma2.it>
License
GPL-3
Version
0.1.5

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