Generalized Autoregressive Score Models

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

Generalized Autoregressive Score Models in R

GAS (Catania et al., 2018a) 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. (2019) and Ardia et al. (2018b).

The latest stable version of GAS is available at

The latest development version of GAS is available at

Please cite GAS in publications:

Catania, L., Boudt, K., Ardia, D. (2018a).
GAS: Generalized Autoregressive Score Models.
R package.

Ardia, D., Boudt, K., Catania, L. (2019).
Generalized autoregressive score models in R: The GAS package.
Journal of Statistical Software.

Ardia, D., Boudt, K., Catania, L. (2018b).
Downside Risk Evaluation with the R Package GAS.
The R Journal.


Reference manual

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0.3.3 by Leopoldo Catania, a year ago

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Browse source code at

Authors: Leopoldo Catania [aut, cre] , David Ardia [ctb] , Kris Boudt [ctb]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-3 license

Imports Rcpp, Rsolnp, MASS, xts, numDeriv, zoo, cubature

Depends on methods

Suggests testthat

Linking to Rcpp, RcppArmadillo

See at CRAN