Package: GAS 0.3.4.1
Leopoldo Catania
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>.
Authors:
GAS_0.3.4.1.tar.gz
GAS_0.3.4.1.tar.gz(r-4.5-noble)GAS_0.3.4.1.tar.gz(r-4.4-noble)
GAS_0.3.4.1.tgz(r-4.4-emscripten)GAS_0.3.4.1.tgz(r-4.3-emscripten)
GAS.pdf |GAS.html✨
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
Datasets:
- Goals - Data: Goals scored by England against Scotland in international football matches.
- StockIndices - Data: Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24
- 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
- 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 minutes Realized Volatility from 2000-01-03 to 2000-01-10
- tqdata - Data from Bien et al (2011).
- usunp - US Monthly Civilian Unemployment Rate (UNRATE) from 1948-01-01 to 2016-05-01
Last updated 3 months agofrom:5b6062863b. Checks:OK: 1 NOTE: 1. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 04 2024 |
| R-4.5-linux-x86_64 | NOTE | Nov 04 2024 |
Exports:BacktestDensityBacktestVaRbuild_vRcoefConfidenceBandsconvergenceddist_Multiddist_UniDistInfoDistLabelsDistNameDistParametersDistScalingTypeDistTypeESfn.optimfn.solnpFZLossgetFilteredParametersgetForecastgetMomentsgetObsIM_UniLogScoreLowerALowerBLowerNuMapR_Cmdist_UnimGASMultiForcastMultiGASFitMultiGASForMultiGASRollMultiGASSimMultiGASSpecMultiMapParametersMultiUnmapParametersNumberParameterspdist_UnipitPIT_testplotqdist_UniquantileQuantilesrdist_Multirdist_UniresidualsScore_MultiScore_UnishowuGASMultiForcastUniGASFitUniGASForUniGASRollUniGASSimUniGASSpecUniMapParametersUniUnmapParametersUnMapR_CUpperAUpperBUpperNu
Dependencies:cubaturelatticeMASSnumDerivRcppRcppArmadilloRsolnptruncnormxtszoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Generalized Autoregressive Score models in R | GAS-package GAS |
| Backtest a series of one-step ahead density predictions. | BacktestDensity |
| Backtest Value at Risk (VaR) | BacktestVaR |
| Build confidence bands for the filtered parameters | ConfidenceBands |
| 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 | cpichg |
| Information for the supported distributions | DistInfo DistLabels DistName DistParameters DistScalingType DistType NumberParameters |
| Distributions of the GAS package | ddist_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 points | dji30ret |
| 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 object | coef,mGASFit-method convergence convergence,mGASFit-method getFilteredParameters,mGASFit-method getMoments,mGASFit-method getObs,mGASFit-method mGASFit mGASFit-class plot,mGASFit,missing-method residuals,mGASFit-method show,mGASFit-method summary,mGASFit-method |
| Class for the Multivariate GAS Forecast object | getForecast,mGASFor-method getMoments,mGASFor-method LogScore,mGASFor-method mGASFor mGASFor-class plot,mGASFor,missing-method show,mGASFor-method |
| Class for the Multivariate GAS Rolling object | coef,mGASRoll-method getForecast,mGASRoll-method getMoments,mGASRoll-method LogScore,mGASRoll-method mGASRoll mGASRoll-class plot,mGASRoll,missing-method residuals,mGASRoll-method show,mGASRoll-method |
| Class for Multivariate GAS Simulation | coef,mGASSim-method getFilteredParameters,mGASSim-method getMoments,mGASSim-method getObs,mGASSim-method mGASSim mGASSim-class plot,mGASSim,missing-method show,mGASSim-method |
| Class for the Multivariate GAS model specification | mGASSpec mGASSpec-class show,mGASSpec-method |
| Estimate multivariate GAS models | MultiGASFit |
| Forecast with multivariate GAS models | mGASMultiForcast MultiGASFor |
| Rolling forecast with multivariate GAS models | MultiGASRoll |
| Simulate multivariate GAS processes | MultiGASSim |
| Multivariate GAS specification | MultiGASSpec |
| Mapping function for univariate distributions | build_mR build_vR MapR_C MultiMapParameters |
| Inverse of MultiMapParameters | MultiUnmapParameters UnMapR_C |
| Numerical bounds imposed in parameters transformation. | LowerA LowerB LowerNu NumericalBounds UpperA UpperB UpperNu |
| Goodness of fit for conditional densities | PIT_test |
| Plot output from an object of the from the GAS package. | plot PlotMenu |
| Data: Daily logarithmic returns in percentage points of the S&P500 index from 1950-01-04 to 2016-06-24 | sp500ret |
| Data: SP500 Daily 5 minutes Realized Volatility from 2000-01-03 to 2000-01-10 | sp500rv |
| Data: Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24 | StockIndices |
| Data from Bien et al (2011). | tqdata |
| Class for the univariate GAS fitted object | coef,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 plot,uGASFit,missing-method quantile,uGASFit-method residuals residuals,uGASFit-method show,uGASFit-method summary,uGASFit-method uGASFit uGASFit-class |
| Class for the univariate GAS forecast object | ES,uGASFor-method getForecast,uGASFor-method getMoments,uGASFor-method getObs,uGASFor-method LogScore,uGASFor-method pit,uGASFor-method plot,uGASFor,missing-method quantile,uGASFor-method show,uGASFor-method uGASFor uGASFor-class |
| Class for the univariate GAS rolling object | coef,uGASRoll-method ES,uGASRoll-method getForecast getForecast,uGASRoll-method getMoments,uGASRoll-method getObs,uGASRoll-method LogScore LogScore,uGASRoll-method pit,uGASRoll-method plot,uGASRoll,missing-method quantile,uGASRoll-method residuals,uGASRoll-method show,uGASRoll-method uGASRoll uGASRoll-class |
| Class for Univariate GAS Simulation | coef,uGASSim-method ES,uGASSim-method getFilteredParameters,uGASSim-method getMoments,uGASSim-method getObs,uGASSim-method plot,uGASSim,missing-method quantile,uGASSim-method show,uGASSim-method uGASSim uGASSim-class |
| Class for the univariate GAS model specification | show,uGASSpec-method uGASSpec uGASSpec-class |
| Estimate univariate GAS models | UniGASFit |
| Forecast with univariate GAS models | uGASMultiForcast UniGASFor |
| Rolling forecast with univariate GAS models | UniGASRoll |
| Simulate Univariate GAS processes | UniGASSim |
| Univariate GAS specification | UniGASSpec |
| Mapping function for univariate distributions | UniMapParameters |
| Unmapping function for univariate distributions, i.e. inverse of UniMapParameters | UniUnmapParameters |
| US Monthly Civilian Unemployment Rate (UNRATE) from 1948-01-01 to 2016-05-01 | usunp |