GAS: Generalized Autoregressive Score Models

Simulate, estimate and forecast using univariate and multivariate GAS models.

Version: 0.1.5
Depends: R (≥ 2.10), Rsolnp, methods, MASS, xts, numDeriv, zoo
Imports: Rcpp (≥ 0.12.2)
LinkingTo: Rcpp, RcppArmadillo
Published: 2016-11-19
Author: Leopoldo Catania [aut,cre], Kris Boudt [ctb], David Ardia [ctb]
Maintainer: Leopoldo Catania <leopoldo.catania at>
License: GPL-3
NeedsCompilation: yes
Materials: ChangeLog
In views: TimeSeries
CRAN checks: GAS results


Reference manual: GAS.pdf
Vignettes: Add a new distribution to the GAS package
Generalized Autoregressive Score Models in R: The GAS Package
Value-at-Risk Prediction in R with the GAS Package
Package source: GAS_0.1.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Mavericks binaries: r-release: GAS_0.1.5.tgz, r-oldrel: GAS_0.1.5.tgz
Old sources: GAS archive


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