Generalized Autoregressive Score Models
Backtest a series of one-step ahead density predictions.
Backtest Value at Risk (VaR)
Numerical bounds imposed in parameters transformation.
Build confidence bands for the filtered parameters
Information for the supported distributions
Distributions of the GAS package
A wrapper to the optim function.
Class for the univariate GAS model specification
Estimate univariate GAS models
A wrapper to the solnp function of the Rsolnp package of Ghalanos an...
Fissler and Ziegel (2016) (FZ) joint loss function for Value at Risk a...
Generalized Autoregressive Score models in R
Plot output from an object of the from the GAS package.
Class for the Multivariate GAS fitted object
Class for the Multivariate GAS Forecast object
Class for the Multivariate GAS Rolling object
Class for Multivariate GAS Simulation
Class for the Multivariate GAS model specification
Estimate multivariate GAS models
Forecast with multivariate GAS models
Rolling forecast with multivariate GAS models
Simulate multivariate GAS processes
Multivariate GAS specification
Mapping function for univariate distributions
Inverse of MultiMapParameters
Goodness of fit for conditional densities
Class for the univariate GAS fitted object
Class for the univariate GAS forecast object
Class for the univariate GAS rolling object
Class for Univariate GAS Simulation
Forecast with univariate GAS models
Rolling forecast with univariate GAS models
Simulate Univariate GAS processes
Univariate GAS specification
Mapping function for univariate distributions
Unmapping function for univariate distributions, i.e. inverse of UniMa...
Simulate, estimate and forecast using univariate and multivariate GAS models as described in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.