GAS (version 0.1.1)

GAS-package: Generalized Autoregressive Score models in R

Description

The GAS package allows 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).

Details

Package:

GAS

Type:

Package

Version:

0.1

Date:

2016-06-06

License:

GPL (>= 2)

The authors acknowledge Google for financial support via the Google Summer of Code 2016 project "GAS"; see https://summerofcode.withgoogle.com/projects/#4717600793690112.

Known bugs and limitations:

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

References

Creal, D., Koopman, S. J., & Lucas, A. (2013). Generalized autoregressive score models with applications. Journal of Applied Econometrics, 28(5), 777-795.

Harvey, A. C. (2013). Dynamic models for volatility and heavy tails: with applications to financial and economic time series (Vol. 52). Cambridge University Press.