Generalized Autoregressive Score Models in R
GAS (Catania et al., 20xx) implements the Generalized Autoregressive
Score (GAS) framework in R. The GAS package provides
functions to simulate univariate and multivariate GAS processes,
estimate the GAS parameters and to make time series forecasts. Full description of the algorithm
and numerous applications are available in Ardia et al. (2016a) and Ardia et al. (2016b).
The latest stable version of
GAS is available at https://CRAN.R-project.org/package=GAS.
The latest development version of
GAS is available at https://github.com/LeopoldoCatania/GAS.
GAS in publications:
Catania, L., Boudt, K., Ardia, D. (20xx). GAS: Generalized Autoregressive Score Models. R package. https://CRAN.R-project.org/package=GAS
Ardia, D., Boudt, K., Catania, L. (2016a). Generalized autoregressive score models in R: The GAS package. Working paper. https://ssrn.com/abstract=2825380
Ardia, D., Boudt, K., Catania, L. (2016b). Value-at-Risk prediction in R with the GAS package. Working paper. https://ssrn.com/abstract=2871444
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