Specify the conditional distribution, scaling mechanism and timevarying parameters for multivariate GAS models.
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Dist 

.
ScalingType 

GASPar 

ScalarParameters 

All the information regarding the supported multivariate conditional distributions can be investigated using the DistInfo function.
An object of the class mGASSpec
Leopoldo Catania
Creal D, Koopman SJ, Lucas A (2011). "A Dynamic Multivariate HeavyTailed Model for TimeVarying Volatilities and Correlations." Journal of Business & Economic Statistics, 29(4), 552563. doi: 10.1198/jbes.2011.10070.
Creal D, Koopman SJ, Lucas A (2013). "Generalized Autoregressive Score Models with Applications." Journal of Applied Econometrics, 28(5), 777795. doi: 10.1002/jae.1279.
Harvey AC (2013). Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series. Cambridge University Press.
1 2 3 4 5 6 7 8 9 10 11  # Specify a GAS model with multivariate Studentt
# conditional distribution and timevarying locations,
# scales and correlations parameters but constant shape parameter.
library("GAS")
GASSpec = MultiGASSpec(Dist = "mvt", ScalingType = "Identity",
GASPar = list(location = TRUE, scale = TRUE,
correlation = TRUE, shape = FALSE))
GASSpec

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