GAS-package: Generalized Autoregressive Score models in R

GAS-packageR Documentation

Generalized Autoregressive Score models in R

Description

The GAS package allows us to simulate, estimate and forecast using univariate and multivariate Generalized Autoregressive Score (GAS) models (also known as Dynamic Conditional Score (DCS) models), see e.g., Creal et. al. (2013) and Harvey (2013) and the website www.gasmodel.com. A detailed implementation of the package functionalities are reported in Ardia et. al. (2016a,b).

Details

Package: GAS
Type: Package
Version: 0.2.4
Date: 2017-07-23
License: GPL (>= 2)

The authors acknowledge Google for financial support via the Google Summer of Code 2016 project "GAS"; see https://summerofcode.withgoogle.com/archive/2016/projects/4537082387103744/.

Current limitations:

  • The multivariate GAS model for N>4 does not report the exact update for the correlation parameters since the Jacobian of the hyperspherical coordinates transformation needs to be coded for the case N>4. The Jacobian for N>4 is replaced by the identity matrix.

Author(s)

Leopoldo Catania [aut,cre], Kris Boudt [ctb], David Ardia [ctb]

Maintainer: Leopoldo Catania <leopoldo.catania@uniroma2.it>

References

Ardia D, Boudt K and Catania L (2016a). "Generalized Autoregressive Score Models in R: The GAS Package." http://ssrn.com/abstract=2825380.

Ardia D, Boudt K and Catania L (2016b). "Value-at-Risk Prediction in R with the GAS Package." https://ssrn.com/abstract=2871444.

Creal D, Koopman SJ, 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 AC (2013). Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series. Cambridge University Press.


aadegboyega/GASModel-Extensions documentation built on Jan. 17, 2025, 3:40 a.m.