GAS models
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DESCRIPTION
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README.md

GAS

Generalized Autoregressive Score Models in R

GAS (Catania et al., 20xx) implements the Generalized Autoregressive Score (GAS) framework in R. The GAS package provides functions to simulate univariate and multivariate GAS processes, estimate the GAS parameters and to make time series forecasts. Full description of the algorithm and numerous applications are available in Ardia et al. (2016a) and Ardia et al. (2016b).

The latest stable version of GAS is available at https://CRAN.R-project.org/package=GAS.

The latest development version of GAS is available at https://github.com/LeopoldoCatania/GAS.

Please cite GAS in publications:

Catania, L., Boudt, K., Ardia, D. (20xx).
GAS: Generalized Autoregressive Score Models.
R package.
https://CRAN.R-project.org/package=GAS

Ardia, D., Boudt, K., Catania, L. (2016a).
Generalized autoregressive score models in R: The GAS package.
Working paper.
https://ssrn.com/abstract=2825380

Ardia, D., Boudt, K., Catania, L. (2016b).
Value-at-Risk prediction in R with the GAS package.
Working paper.
https://ssrn.com/abstract=2871444