Generalized Autoregressive Score Models


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Documentation for package ‘GAS’ version 0.1.1

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B C D G I L M N P Q R S T U

GAS-package Generalized Autoregressive Score models in R

-- B --

BacktestDensity Backtest a series of one step ahead density predictions.
BacktestVaR Backtest Value at Risk (VaR)
build_mR Mapping function for univariate distributions

-- C --

coef-method class: Class for the Multivariate GAS fitted object
coef-method class: Class for Multivariate GAS Simulation
coef-method class: Class for the Univariate GAS fitted object
coef-method class: Class for Univariate GAS Simulation
ConfidenceBands Build confidence bands for the filtered parameters
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

-- D --

ddist_multi Distributions of the GAS package.
ddist_univ Distributions of the GAS package.
DistInfo Information for the supported distributions
DistLabels Information for the supported distributions
DistName Information for the supported distributions
DistParameters Information for the supported distributions
distributions Distributions of the GAS package.
DistScalingType Information for the supported distributions
DistType Information for the supported distributions
dji30ret data: Dow Jones 30 Constituents Closing Value Log Return

-- G --

GAS Generalized Autoregressive Score models in R
getFilteredParameters class: Class for the Univariate GAS fitted object
getFilteredParameters-method class: Class for the Multivariate GAS fitted object
getFilteredParameters-method class: Class for Multivariate GAS Simulation
getFilteredParameters-method class: Class for the Univariate GAS fitted object
getFilteredParameters-method class: Class for Univariate GAS Simulation
getForecast class: Class for the Univariate GAS Rolling object
getForecast-method class: Class for the Multivariate GAS Forecast object
getForecast-method class: Class for the Multivariate GAS Rolling object
getForecast-method class: Class for the Univariate GAS Forecast object
getForecast-method class: Class for the Univariate GAS Rolling object
getMoments class: Class for the Univariate GAS fitted object
getMoments-method class: Class for the Multivariate GAS fitted object
getMoments-method class: Class for the Multivariate GAS Forecast object
getMoments-method class: Class for the Multivariate GAS Rolling object
getMoments-method class: Class for Multivariate GAS Simulation
getMoments-method class: Class for the Univariate GAS fitted object
getMoments-method class: Class for the Univariate GAS Forecast object
getMoments-method class: Class for the Univariate GAS Rolling object
getMoments-method class: Class for Univariate GAS Simulation
getObs class: Class for the Univariate GAS fitted object
getObs-method class: Class for the Multivariate GAS fitted object
getObs-method class: Class for Multivariate GAS Simulation
getObs-method class: Class for the Univariate GAS fitted object
getObs-method class: Class for the Univariate GAS Forecast object
getObs-method class: Class for the Univariate GAS Rolling object
getObs-method class: Class for Univariate GAS Simulation

-- I --

IM_univ Distributions of the GAS package.

-- L --

LogScore class: Class for the Univariate GAS Rolling object
LogScore-method class: Class for the Multivariate GAS Forecast object
LogScore-method class: Class for the Multivariate GAS Rolling object
LogScore-method class: Class for the Univariate GAS Forecast object
LogScore-method class: Class for the Univariate GAS Rolling object
LowerA Numerical bounds imposed in parameter transformation.
LowerB Numerical bounds imposed in parameter transformation.
LowerNu Numerical bounds imposed in parameter transformation.

-- M --

mdist_univ Distributions of the GAS package.
mGASFit class: Class for the Multivariate GAS fitted object
mGASFit-class class: Class for the Multivariate GAS fitted object
mGASFor class: Class for the Multivariate GAS Forecast object
mGASFor-class class: Class for the Multivariate GAS Forecast object
mGASRoll class: Class for the Multivariate GAS Rolling object
mGASRoll-class class: Class for the Multivariate GAS Rolling object
mGASSim class: Class for Multivariate GAS Simulation
mGASSim-class class: Class for Multivariate GAS Simulation
mGASSpec class: Class for the Multivariate GAS model specification
mGASSpec-class class: Class for the Multivariate GAS model specification
MultiGASFit Estimate multivariate GAS models
MultiGASFor Forecast with multivariate GAS models
MultiGASRoll Rolling forecast with multivariate GAS models
MultiGASSim Simulate Multivariate GAS processes
MultiGASSpec Multivariate GAS specification
MultiMapParameters Mapping function for univariate distributions
MultiUnmapParameters Inverse of MultiMapParameters

-- N --

NumberParameters Information for the supported distributions
NumericalBounds Numerical bounds imposed in parameter transformation.

-- P --

pdist_univ Distributions of the GAS package.
pit class: Class for the Univariate GAS fitted object
pit-method class: Class for the Univariate GAS fitted object
pit-method class: Class for the Univariate GAS Forecast object
pit-method class: Class for the Univariate GAS Rolling object
PIT_test Goodness of Fit for Conditional Densities
plot-method class: Class for the Multivariate GAS fitted object
plot-method class: Class for the Multivariate GAS Forecast object
plot-method class: Class for the Multivariate GAS Rolling object
plot-method class: Class for Multivariate GAS Simulation
plot-method class: Class for the Univariate GAS fitted object
plot-method class: Class for the Univariate GAS Forecast object
plot-method class: Class for the Univariate GAS Rolling object
plot-method class: Class for Univariate GAS Simulation

-- Q --

qdist_univ Distributions of the GAS package.
quantile-method class: Class for the Univariate GAS fitted object
quantile-method class: Class for the Univariate GAS Forecast object
quantile-method class: Class for the Univariate GAS Rolling object
quantile-method class: Class for Univariate GAS Simulation
Quantiles Distributions of the GAS package.

-- R --

rdist_multi Distributions of the GAS package.
rdist_univ Distributions of the GAS package.
rmvt_mat Distributions of the GAS package.

-- S --

Score_multi Distributions of the GAS package.
Score_univ Distributions of the GAS package.
show-method class: Class for the Multivariate GAS fitted object
show-method class: Class for the Multivariate GAS Forecast object
show-method class: Class for the Multivariate GAS Rolling object
show-method class: Class for Multivariate GAS Simulation
show-method class: Class for the Multivariate GAS model specification
show-method class: Class for the Univariate GAS fitted object
show-method class: Class for the Univariate GAS Forecast object
show-method class: Class for the Univariate GAS Rolling object
show-method class: Class for Univariate GAS Simulation
show-method class: Class for the Univariate GAS model specification
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
StockIndices data: Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24

-- T --

tqdata data: Data from Bien et al (2011).

-- U --

uGASFit class: Class for the Univariate GAS fitted object
uGASFit-class class: Class for the Univariate GAS fitted object
uGASFor class: Class for the Univariate GAS Forecast object
uGASFor-class class: Class for the Univariate GAS Forecast object
uGASRoll class: Class for the Univariate GAS Rolling object
uGASRoll-class class: Class for the Univariate GAS Rolling object
uGASSim class: Class for Univariate GAS Simulation
uGASSim-class class: Class for Univariate GAS Simulation
uGASSpec class: Class for the Univariate GAS model specification
uGASSpec-class class: Class for the Univariate GAS model specification
UniGASFit Estimate univariate GAS models
UniGASFor Forecast with univariate GAS models
UniGASRoll Rolling forecast with univariate GAS models
UniGASSim Simulate Univariate GAS processes
UniGASSpec Univariate GAS specification
UniMapParameters Mapping function for univariate distributions
UniUnmapParameters Unmapping function for univariate distributions, i.e. inverse of UniMapParameters
UnMapR_C Inverse of MultiMapParameters
UpperA Numerical bounds imposed in parameter transformation.
UpperB Numerical bounds imposed in parameter transformation.
UpperNu Numerical bounds imposed in parameter transformation.
usunp data: US Monthly Civilian Unemployment Rate (UNRATE) from 1948-01-01 to 2016-05-01