Generalized Autoregressive Score Models

Simulate, estimate and forecast using univariate and multivariate GAS models as described in Ardia et al. (2019) .

GAS

GAS 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. (2018) and Ardia et al. (2019).

Please cite the package in publications!

By using GAS you agree to the following rules:

1. You must cite Ardia et al. (2019) in working papers and published papers that use GAS.
2. You must place the following URL in a footnote to help others find GAS: https://CRAN.R-project.org/package=GAS.
3. You assume all risk for the use of GAS.

Ardia, D., Boudt, K., Catania, L. (2018).
Downside Risk Evaluation with the R Package GAS.
R Journal, 10(2), 410-421.
https://doi.org/10.32614/RJ-2018-064

Ardia, D., Boudt, K., Catania, L. (2019).
Generalized autoregressive score models in R: The GAS package.
Journal of Statistical Software, 88(6), 1-28.
https://doi.org/10.18637/jss.v088.i06