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).
By using GAS you agree to the following rules:
- You must cite Ardia et al. (2019) in working papers and published papers that use
GAS. - You must place the following URL in a footnote to help others find
GAS: https://CRAN.R-project.org/package=GAS. - 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