GAS: Generalized Autoregressive Score Models

Simulate, estimate and forecast using univariate and multivariate GAS models as described in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.

Version: 0.3.4
Depends: R (≥ 3.4.0), methods
Imports: Rcpp (≥ 0.12.2), Rsolnp, MASS, xts, numDeriv, zoo, cubature
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat
Published: 2022-02-04
DOI: 10.32614/CRAN.package.GAS
Author: Leopoldo Catania ORCID iD [aut, cre], David Ardia ORCID iD [ctb], Kris Boudt ORCID iD [ctb]
Maintainer: Leopoldo Catania <leopoldo.catania at>
License: GPL-3
NeedsCompilation: yes
Citation: GAS citation info
Materials: README ChangeLog
In views: TimeSeries
CRAN checks: GAS results


Reference manual: GAS.pdf


Package source: GAS_0.3.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): GAS_0.3.4.tgz, r-oldrel (arm64): GAS_0.3.4.tgz, r-release (x86_64): GAS_0.3.4.tgz, r-oldrel (x86_64): GAS_0.3.4.tgz
Old sources: GAS archive

Reverse dependencies:

Reverse imports: BEKKs


Please use the canonical form to link to this page.