GAS: Generalized Autoregressive Score Models
Simulation, estimation and forecasting of univariate and
multivariate generalized autoregressive score models. Time-varying
distributional parameters are updated using the score of the conditional
distribution, with alternative score scaling specifications. Provides
maximum likelihood estimation, filtering, density forecasting and
rolling forecast evaluation for a range of conditional distributions.
Includes diagnostic tools and methods for evaluating Value-at-Risk and
Expected Shortfall forecasts. The models and their applications are
described in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.
| Version: |
0.4.3 |
| Depends: |
R (≥ 3.4.0), methods |
| Imports: |
Rcpp (≥ 0.12.2), Rsolnp, MASS, xts, numDeriv, zoo, cubature |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
testthat |
| Published: |
2026-10-30 |
| DOI: |
10.32614/CRAN.package.GAS |
| Author: |
Leopoldo Catania 
[aut, cre],
David Ardia [ctb],
Kris Boudt [ctb] |
| Maintainer: |
Leopoldo Catania <leopoldo.catania at econ.au.dk> |
| BugReports: |
https://github.com/LeopoldoCatania/GAS/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/LeopoldoCatania/GAS |
| NeedsCompilation: |
yes |
| Citation: |
GAS citation info |
| Materials: |
README, ChangeLog |
| CRAN checks: |
GAS results |
Documentation:
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