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GAS (version 0.1.1)

Generalized Autoregressive Score Models

Description

Simulate, Estimate and Forecast using univariate and multivariate GAS models.

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Version

Install

install.packages('GAS')

Monthly Downloads

606

Version

0.1.1

License

GPL-3

Maintainer

Leopoldo Catania

Last Published

August 17th, 2016

Functions in GAS (0.1.1)

distributions

Distributions of the GAS package.
cpichg

data: Quarterly logarithmic change in percentage points of the Consumer Price Index for All Urban Consumers: All Items (CPIAUCSL) from 1947-04-01 to 2016-05-01
BacktestDensity

Backtest a series of one step ahead density predictions.
ConfidenceBands

Build confidence bands for the filtered parameters
mGASFit

class: Class for the Multivariate GAS fitted object
NumericalBounds

Numerical bounds imposed in parameter transformation.
BacktestVaR

Backtest Value at Risk (VaR)
DistInfo

Information for the supported distributions
GAS-package

Generalized Autoregressive Score models in R
dji30ret

data: Dow Jones 30 Constituents Closing Value Log Return
MultiMapParameters

Mapping function for univariate distributions
MultiGASFit

Estimate multivariate GAS models
mGASRoll

class: Class for the Multivariate GAS Rolling object
mGASSim

class: Class for Multivariate GAS Simulation
MultiGASFor

Forecast with multivariate GAS models
mGASFor

class: Class for the Multivariate GAS Forecast object
mGASSpec

class: Class for the Multivariate GAS model specification
MultiGASSpec

Multivariate GAS specification
MultiGASRoll

Rolling forecast with multivariate GAS models
MultiUnmapParameters

Inverse of MultiMapParameters
uGASFor

class: Class for the Univariate GAS Forecast object
uGASRoll

class: Class for the Univariate GAS Rolling object
uGASFit

class: Class for the Univariate GAS fitted object
tqdata

data: Data from Bien et al (2011).
StockIndices

data: Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24
sp500rv

data: SP500 Daily 5 minutes Realized Volatility from 2000-01-03 to 2000-01-10
UniGASRoll

Rolling forecast with univariate GAS models
UniUnmapParameters

Unmapping function for univariate distributions, i.e. inverse of UniMapParameters
UniMapParameters

Mapping function for univariate distributions
UniGASSpec

Univariate GAS specification
uGASSim

class: Class for Univariate GAS Simulation
PIT_test

Goodness of Fit for Conditional Densities
uGASSpec

class: Class for the Univariate GAS model specification
UniGASFor

Forecast with univariate GAS models
UniGASFit

Estimate univariate GAS models
sp500ret

data: Daily logarithmic returns in percentage points of the S&P500 index from 1950-01-04 to 2016-06-24
usunp

data: US Monthly Civilian Unemployment Rate (UNRATE) from 1948-01-01 to 2016-05-01