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) <doi:10.18637/jss.v088.i06>.
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:
    <https://orcid.org/0000-0002-0981-1921>),
  David Ardia [ctb] (ORCID: <https://orcid.org/0000-0003-2823-782X>),
  Kris Boudt [ctb] (ORCID: <https://orcid.org/0000-0002-1000-5142>)
Maintainer: Leopoldo Catania <leopoldo.catania@econ.au.dk>
Packaged: 2026-10-30 10:24:12 UTC; au588008
Repository: CRAN
Date/Publication: 2026-10-30 15:00:02 UTC
