Package: GAS 0.4.3

Leopoldo Catania

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>.

Authors:Leopoldo Catania [aut, cre], David Ardia [ctb], Kris Boudt [ctb]

GAS_0.4.3.tar.gz
GAS_0.4.3.zip(r-4.7-x86_64)GAS_0.4.3.zip(r-4.7-arm64)GAS_0.4.3.zip(r-4.6-x86_64)GAS_0.4.3.zip(r-4.6-arm64)
GAS_0.4.3.tar.gz(r-4.7-arm64)GAS_0.4.3.tar.gz(r-4.7-x86_64)GAS_0.4.3.tar.gz(r-4.6-arm64)GAS_0.4.3.tar.gz(r-4.6-x86_64)
GAS_0.4.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
GAS/json (API)

# Install 'GAS' in R:
install.packages('GAS', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/leopoldocatania/gas/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • cpichg - Data: Quarterly logarithmic change in percentage points of the Consumer Price Index for All Urban Consumers: All Items (CPIAUCSL) from 1947-04-01 to 2016-05-01
  • dji30ret - Data: Dow Jones 30 Constituents Closing Value Log Return in percentage points
  • Goals - Data: Goals scored by England against Scotland in international football matches.
  • sp500ret - Data: Daily logarithmic returns in percentage points of the S&P500 index from 1950-01-04 to 2016-06-24
  • sp500rv - Data: SP500 Daily 5-minute Realized Volatility
  • StockIndices - Data: Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24
  • tqdata - Data from Bien et al (2011).
  • usunp - US Monthly Civilian Unemployment Rate (UNRATE) from 1948-01-01 to 2016-05-01

On CRAN:

Conda:

openblascpp

2.70 score 317 downloads 165 mentions 64 exports 17 dependencies

Last updated from:910d21e1fb. Checks:10 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK258
linux-devel-x86_64OK211
source / vignettesOK315
linux-release-arm64OK230
linux-release-x86_64OK278
windows-devel-arm64OK434
windows-devel-x86_64OK441
windows-release-arm64OK451
windows-release-x86_64OK400
wasm-releaseOK236

Exports:BacktestDensityBacktestVaRbuild_vRcoefConfidenceBandsconvergenceddist_Multiddist_UniDistInfoDistLabelsDistNameDistParametersDistScalingTypeDistTypeESfn.optimfn.solnpFZLossgetFilteredParametersgetForecastgetMomentsgetObsIM_UniLogScoreLowerALowerBLowerNuMapR_Cmdist_UnimGASMultiForcastMultiGASFitMultiGASForMultiGASRollMultiGASSimMultiGASSpecMultiMapParametersMultiUnmapParametersNumberParameterspdist_UnipitPIT_testplotqdist_UniquantileQuantilesrdist_Multirdist_UniresidualsScore_MultiScore_UnishowsummaryuGASMultiForcastUniGASFitUniGASForUniGASRollUniGASSimUniGASSpecUniMapParametersUniUnmapParametersUnMapR_CUpperAUpperBUpperNu

Dependencies:codetoolscubaturedigestfuturefuture.applyglobalslatticelistenvMASSnumDerivparallellyRcppRcppArmadilloRsolnptruncnormxtszoo

Readme and manuals

Help Manual

Help pageTopics
Generalized Autoregressive Score models in RGAS-package GAS
Backtest a series of one-step ahead density predictions.BacktestDensity
Backtest Value at Risk (VaR)BacktestVaR
Pointwise confidence bands for time-varying parametersConfidenceBands
Data: Quarterly logarithmic change in percentage points of the Consumer Price Index for All Urban Consumers: All Items (CPIAUCSL) from 1947-04-01 to 2016-05-01cpichg
Information for the supported distributionsDistInfo DistLabels DistName DistParameters DistScalingType DistType NumberParameters
Distributions of the GAS packageddist_Multi ddist_Uni distributions IM_Uni mdist_Uni pdist_Uni qdist_Uni Quantiles rdist_Multi rdist_Uni rmvt_mat Score_Multi Score_Uni
data: Dow Jones 30 Constituents Closing Value Log Return in percentage pointsdji30ret
A wrapper to the optim function.fn.optim
A wrapper to the solnp function of the 'Rsolnp' package of Ghalanos and Theussl (2016).fn.solnp
Fissler and Ziegel (2016) (FZ) joint loss function for Value at Risk and Expected Shortfall.FZLoss
data: Goals scored by England against Scotland in international football matches.Goals
Class for the Multivariate GAS fitted objectcoef,mGASFit-method convergence convergence,mGASFit-method getFilteredParameters,mGASFit-method getMoments,mGASFit-method getObs,mGASFit-method mGASFit mGASFit-class residuals,mGASFit-method show,mGASFit-method summary,mGASFit-method
Class for the Multivariate GAS Forecast objectgetForecast,mGASFor-method getMoments,mGASFor-method LogScore,mGASFor-method mGASFor mGASFor-class show,mGASFor-method
Class for the Multivariate GAS Rolling objectcoef,mGASRoll-method getForecast,mGASRoll-method getMoments,mGASRoll-method LogScore,mGASRoll-method mGASRoll mGASRoll-class residuals,mGASRoll-method show,mGASRoll-method
Class for Multivariate GAS Simulationcoef,mGASSim-method getFilteredParameters,mGASSim-method getMoments,mGASSim-method getObs,mGASSim-method mGASSim mGASSim-class show,mGASSim-method
Class for the Multivariate GAS model specificationmGASSpec mGASSpec-class show,mGASSpec-method
Estimate multivariate GAS modelsMultiGASFit
Forecast with multivariate GAS modelsmGASMultiForcast MultiGASFor
Rolling forecast with multivariate GAS modelsMultiGASRoll
Simulate multivariate GAS processesMultiGASSim
Multivariate GAS specificationMultiGASSpec
Mapping function for multivariate distributionsbuild_mR build_vR MapR_C MultiMapParameters
Inverse of MultiMapParametersMultiUnmapParameters UnMapR_C
Numerical bounds used in parameter transformationsLowerA LowerB LowerNu NumericalBounds UpperA UpperB UpperNu
Goodness of fit for conditional densitiesPIT_test
Plot output from an object of the GAS package.plot plot,mGASFit,missing-method plot,mGASFor,missing-method plot,mGASRoll,missing-method plot,mGASSim,missing-method plot,uGASFit,missing-method plot,uGASFor,missing-method plot,uGASRoll,missing-method plot,uGASSim,missing-method PlotMenu
Data: Daily logarithmic returns in percentage points of the S&P500 index from 1950-01-04 to 2016-06-24sp500ret
Data: SP500 Daily 5-minute Realized Volatilitysp500rv
Data: Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24StockIndices
Data from Bien et al (2011).tqdata
Class for the univariate GAS fitted objectcoef,uGASFit-method convergence,uGASFit-method ES ES,uGASFit-method getFilteredParameters getFilteredParameters,uGASFit-method getMoments getMoments,uGASFit-method getObs getObs,uGASFit-method pit pit,uGASFit-method quantile,uGASFit-method residuals residuals,uGASFit-method show,uGASFit-method summary,uGASFit-method uGASFit uGASFit-class
Class for the univariate GAS forecast objectES,uGASFor-method getForecast,uGASFor-method getMoments,uGASFor-method getObs,uGASFor-method LogScore,uGASFor-method pit,uGASFor-method quantile,uGASFor-method show,uGASFor-method uGASFor uGASFor-class
Class for the univariate GAS rolling objectcoef,uGASRoll-method ES,uGASRoll-method getForecast getForecast,uGASRoll-method getMoments,uGASRoll-method getObs,uGASRoll-method LogScore LogScore,uGASRoll-method pit,uGASRoll-method quantile,uGASRoll-method residuals,uGASRoll-method show,uGASRoll-method uGASRoll uGASRoll-class
Class for Univariate GAS Simulationcoef,uGASSim-method ES,uGASSim-method getFilteredParameters,uGASSim-method getMoments,uGASSim-method getObs,uGASSim-method quantile,uGASSim-method show,uGASSim-method uGASSim uGASSim-class
Class for the univariate GAS model specificationshow,uGASSpec-method uGASSpec uGASSpec-class
Estimate univariate GAS modelsUniGASFit
Forecast with univariate GAS modelsuGASMultiForcast UniGASFor
Rolling forecast with univariate GAS modelsUniGASRoll
Simulate Univariate GAS processesUniGASSim
Univariate GAS specificationUniGASSpec
Mapping function for univariate distributionsUniMapParameters
Unmapping function for univariate distributions, i.e. inverse of UniMapParametersUniUnmapParameters
US Monthly Civilian Unemployment Rate (UNRATE) from 1948-01-01 to 2016-05-01usunp