Description Usage Arguments Details Value Author(s) References Examples
Specify the conditional distribution, scaling mechanism and time–varying parameters for univariate GAS models.
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Dist |
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ScalingType |
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GASPar |
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All the information regarding the supported univariate conditional distributions can be investigated using the DistInfo function.
An object of the class uGASSpec.
Leopoldo Catania
Ardia D, Boudt K and Catania L (2016).
"Generalized Autoregressive Score Models in R: The GAS Package."
https://www.ssrn.com/abstract=2825380.
Creal D, Koopman SJ, Lucas A (2013).
"Generalized Autoregressive Score Models with Applications."
Journal of Applied Econometrics, 28(5), 777-795.
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.
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Attaching package: 'GAS'
The following object is masked from 'package:stats':
residuals
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- Univariate GAS Specification -
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Conditional distribution
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Name: Student-t
Label: std
Type: univariate
Parameters: location, scale, shape
Number of Parameters: 3
References:
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GAS specification
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Score scaling type: Identity
Time varying parameters: location, scale, shape
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