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library("GAS")
# Univariate Example
data("sp500ret", package = "GAS")
help(sp500ret)
## build the GAS specification
help(UniGASSpec)
GASSpec = UniGASSpec(Dist = "std", ScalingType = "Identity", GASPar = list(location = FALSE, scale = TRUE, shape = FALSE))
## Estimate the GAS model
help(UniGASFit)
Fit = UniGASFit(GASSpec, sp500ret)
Fit
# Multivariate Example
data("StockIndices", package = "GAS")
help(StockIndices)
## Specification mvt
help(MultiGASSpec)
GASSpec = MultiGASSpec(Dist = "mvt", ScalingType = "Identity", GASPar = list(location = FALSE, scale = TRUE,
correlation = TRUE, shape = FALSE),
ScalarParameters = FALSE)
help(MultiGASFit)
Fit_FULL = MultiGASFit(GASSpec, StockIndices)
Fit_FULL
## Specification mvt with scalar parameters
GASSpec = MultiGASSpec(Dist = "mvt", ScalingType = "Identity", GASPar = list(location = FALSE, scale = TRUE,
correlation = TRUE, shape = FALSE),
ScalarParameters = TRUE)
Fit = MultiGASFit(GASSpec, StockIndices)
Fit
### CPI
data("cpichg", package = "GAS")
help(cpichg)
GASSpec = UniGASSpec(Dist = "std", ScalingType = "Identity", GASPar = list(location = TRUE, scale = TRUE, shape = TRUE))
Fit = UniGASFit(GASSpec, cpichg)
Fit
###
library(GAS)
data("StockIndices", package = "GAS")
help(StockIndices)
vY = StockIndices[, "DAX"]
GASSpec = UniGASSpec(Dist = "ald", ScalingType = "Identity", GASPar = list(location = FALSE, scale = TRUE, skewness = TRUE))
Fit = UniGASFit(GASSpec,vY)
Fit
## Integer valued model
data("tqdata", package = "GAS")
help(tqdata)
GASSpec = UniGASSpec(Dist = "poi", ScalingType = "Identity", GASPar = list(location = TRUE))
vY = abs(tqdata[, 6] - tqdata[, 5]) # absolute bid-ask spread
Fit = UniGASFit(GASSpec,vY)
Fit
# Realised volatility
#with gamma distribution
data("sp500rv", package = "GAS")
help(sp500rv)
GASSpec = UniGASSpec(Dist = "gamma", ScalingType = "Identity", GASPar = list(shape = TRUE, scale = TRUE))
Fit = UniGASFit(GASSpec, sp500rv[1:3000])
Fit
# with exponential distribution
data("sp500rv", package = "GAS")
help(sp500rv)
GASSpec = UniGASSpec(Dist = "exp", ScalingType = "Identity", GASPar = list(location = TRUE))
Fit = UniGASFit(GASSpec, sp500rv[1:3000])
Fit
# unemploiment with BETA - GAS
data("usunp", package = "GAS")
GASSpec = UniGASSpec(Dist = "beta", ScalingType = "Identity", GASPar = list(scale = TRUE, shape = TRUE))
Fit = UniGASFit(GASSpec, usunp)
Fit
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