gasmodel-package: gasmodel: Generalized Autoregressive Score Models

In gasmodel: Generalized Autoregressive Score Models

gasmodel: Generalized Autoregressive Score Models

Description

This package offers tools for estimation, forecasting, and simulation of generalized autoregressive score (GAS) models of Creal et al. (2013) and Harvey (2013), also known as dynamic conditional score (DCS) models or score-driven (SD) models.

The key function is gas() which estimates GAS models. Additional functions include gas_simulate() which simulates GAS models, gas_forecast() which forecasts GAS models, gas_filter() which obtains filtered time-varying parameters of GAS models, and gas_bootstrap() which bootstraps coefficients of GAS models.

The list of supported distributions can be obtained by distr(). The functions working with distributions are distr_density() which computes the density, distr_mean() which computes the mean, distr_var() which computes the variance, distr_score() which computes the score, distr_fisher() which computes the Fisher information, and distr_random() which generates random observations.

The included datasets are bookshop_sales which contains times of antiquarian bookshop sales, german_car_market_cap which contains market capitalization of German car manufacturers, ice_hockey_championships which contains the results of the Ice Hockey World Championships, and sp500_daily which contains daily S&P 500 prices.

Author(s)

Maintainer: Vladimír Holý [e-mail] (ORCID)

References

Creal, D., Koopman, S. J., and Lucas, A. (2013). Generalized Autoregressive Score Models with Applications. Journal of Applied Econometrics, 28(5), 777–795. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/jae.1279")}.

Harvey, A. C. (2013). Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series. Cambridge University Press. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1017/cbo9781139540933")}.

See Also

Useful links:

• https://github.com/vladimirholy/gasmodel

• Report bugs at https://github.com/vladimirholy/gasmodel/issues

gasmodel documentation built on Aug. 30, 2023, 1:09 a.m.