Package: GAS Type: Package Title: Generalized Autoregressive Score Models Version: 0.4.3 Authors@R: c(person("Leopoldo", "Catania", role = c("aut", "cre"), email = "leopoldo.catania@econ.au.dk", comment = c(ORCID = "0000-0002-0981-1921")), person("David", "Ardia", role = c("ctb"), email = "david.ardia.ch@gmail.com", comment = c(ORCID = "0000-0003-2823-782X")), person("Kris", "Boudt", role = c("ctb"), email = "kris.boudt@ugent.be", comment = c(ORCID = "0000-0002-1000-5142"))) Description: 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) . License: GPL-3 BugReports: https://github.com/LeopoldoCatania/GAS/issues URL: https://github.com/LeopoldoCatania/GAS LazyData: TRUE Imports: Rcpp (>= 0.12.2), Rsolnp, MASS, xts, numDeriv, zoo, cubature LinkingTo: Rcpp, RcppArmadillo Depends: R (>= 3.4.0), methods Suggests: testthat NeedsCompilation: yes Author: Leopoldo Catania [aut, cre] (ORCID: ), David Ardia [ctb] (ORCID: ), Kris Boudt [ctb] (ORCID: ) Maintainer: Leopoldo Catania Packaged: 2026-10-30 21:03:50 UTC; root Repository: https://cran.r-universe.dev Date/Publication: 2026-10-30 19:31:12 UTC RemoteUrl: https://github.com/cran/GAS RemoteRef: HEAD RemoteSha: 910d21e1fb51b66584002aa0edb9e73506f7c83b