{
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  "Title": "Generalized Autoregressive Score Models",
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  "Authors@R": "c(person(\"Leopoldo\", \"Catania\", role = c(\"aut\", \"cre\"),\nemail = \"leopoldo.catania@econ.au.dk\",\ncomment = c(ORCID = \"0000-0002-0981-1921\")),\nperson(\"David\", \"Ardia\", role = c(\"ctb\"),\nemail = \"david.ardia.ch@gmail.com\",\ncomment = c(ORCID = \"0000-0003-2823-782X\")),\nperson(\"Kris\", \"Boudt\", role = c(\"ctb\"),\nemail = \"kris.boudt@ugent.be\",\ncomment = c(ORCID = \"0000-0002-1000-5142\")))",
  "Description": "Simulation, estimation and forecasting of univariate and\nmultivariate generalized autoregressive score models.\nTime-varying distributional parameters are updated using the\nscore of the conditional distribution, with alternative score\nscaling specifications. Provides maximum likelihood estimation,\nfiltering, density forecasting and rolling forecast evaluation\nfor a range of conditional distributions. Includes diagnostic\ntools and methods for evaluating Value-at-Risk and Expected\nShortfall forecasts. The models and their applications are\ndescribed in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.",
  "License": "GPL-3",
  "BugReports": "https://github.com/LeopoldoCatania/GAS/issues",
  "URL": "https://github.com/LeopoldoCatania/GAS",
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  "Author": "Leopoldo Catania [aut, cre] (ORCID:\n<https://orcid.org/0000-0002-0981-1921>), David Ardia [ctb]\n(ORCID: <https://orcid.org/0000-0003-2823-782X>), Kris Boudt\n[ctb] (ORCID: <https://orcid.org/0000-0002-1000-5142>)",
  "Maintainer": "Leopoldo Catania <leopoldo.catania@econ.au.dk>",
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    "ddist_Uni",
    "DistInfo",
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    "DistName",
    "DistParameters",
    "DistScalingType",
    "DistType",
    "ES",
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    "fn.solnp",
    "FZLoss",
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    "getForecast",
    "getMoments",
    "getObs",
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    "LogScore",
    "LowerA",
    "LowerB",
    "LowerNu",
    "MapR_C",
    "mdist_Uni",
    "mGASMultiForcast",
    "MultiGASFit",
    "MultiGASFor",
    "MultiGASRoll",
    "MultiGASSim",
    "MultiGASSpec",
    "MultiMapParameters",
    "MultiUnmapParameters",
    "NumberParameters",
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    "pit",
    "PIT_test",
    "plot",
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    "Quantiles",
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    "residuals",
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    "show",
    "summary",
    "uGASMultiForcast",
    "UniGASFit",
    "UniGASFor",
    "UniGASRoll",
    "UniGASSim",
    "UniGASSpec",
    "UniMapParameters",
    "UniUnmapParameters",
    "UnMapR_C",
    "UpperA",
    "UpperB",
    "UpperNu"
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  "_help": [
    {
      "page": "GAS-package",
      "title": "Generalized Autoregressive Score models in R",
      "topics": [
        "GAS-package",
        "GAS"
      ]
    },
    {
      "page": "BacktestDensity",
      "title": "Backtest a series of one-step ahead density predictions.",
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        "BacktestDensity"
      ]
    },
    {
      "page": "BacktestVaR",
      "title": "Backtest Value at Risk (VaR)",
      "topics": [
        "BacktestVaR"
      ]
    },
    {
      "page": "ConfidenceBands",
      "title": "Pointwise confidence bands for time-varying parameters",
      "topics": [
        "ConfidenceBands"
      ]
    },
    {
      "page": "cpichg",
      "title": "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",
      "topics": [
        "cpichg"
      ]
    },
    {
      "page": "DistInfo",
      "title": "Information for the supported distributions",
      "topics": [
        "DistInfo",
        "DistLabels",
        "DistName",
        "DistParameters",
        "DistScalingType",
        "DistType",
        "NumberParameters"
      ]
    },
    {
      "page": "Distributions",
      "title": "Distributions of the GAS package",
      "topics": [
        "ddist_Multi",
        "ddist_Uni",
        "distributions",
        "IM_Uni",
        "mdist_Uni",
        "pdist_Uni",
        "qdist_Uni",
        "Quantiles",
        "rdist_Multi",
        "rdist_Uni",
        "rmvt_mat",
        "Score_Multi",
        "Score_Uni"
      ]
    },
    {
      "page": "dji30ret",
      "title": "data: Dow Jones 30 Constituents Closing Value Log Return in percentage points",
      "topics": [
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      ]
    },
    {
      "page": "fn.optim",
      "title": "A wrapper to the optim function.",
      "topics": [
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      "title": "A wrapper to the solnp function of the 'Rsolnp' package of Ghalanos and Theussl (2016).",
      "topics": [
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      ]
    },
    {
      "page": "FZLoss",
      "title": "Fissler and Ziegel (2016) (FZ) joint loss function for Value at Risk and Expected Shortfall.",
      "topics": [
        "FZLoss"
      ]
    },
    {
      "page": "Goals",
      "title": "data: Goals scored by England against Scotland in international football matches.",
      "topics": [
        "Goals"
      ]
    },
    {
      "page": "mGASFit-class",
      "title": "Class for the Multivariate GAS fitted object",
      "topics": [
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        "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"
      ]
    },
    {
      "page": "mGASFor-class",
      "title": "Class for the Multivariate GAS Forecast object",
      "topics": [
        "getForecast,mGASFor-method",
        "getMoments,mGASFor-method",
        "LogScore,mGASFor-method",
        "mGASFor",
        "mGASFor-class",
        "show,mGASFor-method"
      ]
    },
    {
      "page": "mGASRoll-class",
      "title": "Class for the Multivariate GAS Rolling object",
      "topics": [
        "coef,mGASRoll-method",
        "getForecast,mGASRoll-method",
        "getMoments,mGASRoll-method",
        "LogScore,mGASRoll-method",
        "mGASRoll",
        "mGASRoll-class",
        "residuals,mGASRoll-method",
        "show,mGASRoll-method"
      ]
    },
    {
      "page": "mGASSim-class",
      "title": "Class for Multivariate GAS Simulation",
      "topics": [
        "coef,mGASSim-method",
        "getFilteredParameters,mGASSim-method",
        "getMoments,mGASSim-method",
        "getObs,mGASSim-method",
        "mGASSim",
        "mGASSim-class",
        "show,mGASSim-method"
      ]
    },
    {
      "page": "mGASSpec-class",
      "title": "Class for the Multivariate GAS model specification",
      "topics": [
        "mGASSpec",
        "mGASSpec-class",
        "show,mGASSpec-method"
      ]
    },
    {
      "page": "MultiGASFit",
      "title": "Estimate multivariate GAS models",
      "topics": [
        "MultiGASFit"
      ]
    },
    {
      "page": "MultiGASFor",
      "title": "Forecast with multivariate GAS models",
      "topics": [
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        "MultiGASFor"
      ]
    },
    {
      "page": "MultiGASRoll",
      "title": "Rolling forecast with multivariate GAS models",
      "topics": [
        "MultiGASRoll"
      ]
    },
    {
      "page": "MultiGASSim",
      "title": "Simulate multivariate GAS processes",
      "topics": [
        "MultiGASSim"
      ]
    },
    {
      "page": "MultiGASSpec",
      "title": "Multivariate GAS specification",
      "topics": [
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    },
    {
      "page": "MultiMapParameters",
      "title": "Mapping function for multivariate distributions",
      "topics": [
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        "build_vR",
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        "MultiMapParameters"
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    {
      "page": "MultiUnmapParameters",
      "title": "Inverse of MultiMapParameters",
      "topics": [
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    },
    {
      "page": "Bounds",
      "title": "Numerical bounds used in parameter transformations",
      "topics": [
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        "UpperA",
        "UpperB",
        "UpperNu"
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    },
    {
      "page": "PIT_test",
      "title": "Goodness of fit for conditional densities",
      "topics": [
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      "page": "method-plot",
      "title": "Plot output from an object of the GAS package.",
      "topics": [
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        "plot,mGASFor,missing-method",
        "plot,mGASRoll,missing-method",
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    {
      "page": "sp500ret",
      "title": "Data: Daily logarithmic returns in percentage points of the S&P500 index from 1950-01-04 to 2016-06-24",
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        "sp500ret"
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    },
    {
      "page": "sp500rv",
      "title": "Data: SP500 Daily 5-minute Realized Volatility",
      "topics": [
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    },
    {
      "page": "StockIndices",
      "title": "Data: Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24",
      "topics": [
        "StockIndices"
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    },
    {
      "page": "tqdata",
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        "getMoments,uGASFor-method",
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      "title": "US Monthly Civilian Unemployment Rate (UNRATE) from 1948-01-01 to 2016-05-01",
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