uGASSpec

uGASSpec-class

show,uGASSpec-method

Class for the univariate GAS model specification.

classes

Simulate, estimate and forecast using univariate and multivariate GAS models
as described in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.

Leopoldo Catania

Generalized Autoregressive Score Models

David Ardia

Kris Boudt

uGASSpec function

A virtual Class: No objects may be created from it.

Objects from the Class

<dl>
 <dt><code>Spec</code>:</dt>
<dd>Object of class <code>list</code>. Contains information about the univariate GAS specification:<ul>
<li><code>Dist</code>: <code>character</code> containing the conditional distribution assumption.</li>
<li><code>ScalingType</code>: <code>character</code> indicating the scaling mechanism for the conditional score.</li>
<li><code>iK</code>: <code>numeric</code> representing the number of (possibly) time-varying parameters implied by the distributional assumption.</li>
<li><code>GASPar</code> <code>list</code> with elements: <code>location</code>, <code>scale</code>, <code>skewness</code>, <code>shape</code>, <code>shape2</code>.</li>
</ul>
</dd> 
</dl>

Slots

<ul>
<li><code>show</code> <code>signature(object = 'uGASSpec')</code>: Show summary.</li>
</ul>

Methods

Author

Class for the univariate GAS model specification — uGASSpec

<dl>
 <dt><code>Spec</code>:</dt>
<dd>Object of class <code>list</code>. Contains information about the univariate GAS specification:<ul>
<li><code>Dist</code>: <code>character</code> containing the conditional distribution assumption.</li>
<li><code>ScalingType</code>: <code>character</code> indicating the scaling mechanism for the conditional score.</li>
<li><code>iK</code>: <code>numeric</code> representing the number of (possibly) time-varying parameters implied by the distributional assumption.</li>
<li><code>GASPar</code> <code>list</code> with elements: <code>location</code>, <code>scale</code>, <code>skewness</code>, <code>shape</code>, <code>shape2</code>.</li>
</ul>
</dd>

 
</dl>

uGASSpec: Class for the univariate GAS model specification

Description

Arguments

Objects from the Class

Slots

Methods

Author