# Generalized Autoregressive Score Models

## Documentation for package ‘GAS’ version 0.3.3

- DESCRIPTION file.

## Help Pages

B C D E F 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
build_vR | Mapping function for univariate distributions

## -- C --

coef-method | Class for the Multivariate GAS fitted object
coef-method | Class for the Multivariate GAS Rolling object
coef-method | Class for Multivariate GAS Simulation
coef-method | Class for the univariate GAS fitted object
coef-method | Class for the univariate GAS rolling object
coef-method | Class for Univariate GAS Simulation
ConfidenceBands | Build confidence bands for the filtered parameters
convergence | Class for the Multivariate GAS fitted object
convergence-method | Class for the Multivariate GAS fitted object
convergence-method | Class for the univariate GAS fitted object
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_Uni | 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 in percentage points

## -- E --

ES | Class for the univariate GAS fitted object
ES-method | Class for the univariate GAS fitted object
ES-method | Class for the univariate GAS forecast object
ES-method | Class for the univariate GAS rolling object
ES-method | Class for Univariate GAS Simulation

## -- F --

fn.optim | A wrapper to the optim function.
fn.solnp | A wrapper to the solnp function of the 'Rsolnp' package of Ghalanos and Theussl (2016).
FZLoss | Fissler and Ziegel (2016) (FZ) joint loss function for Value at Risk and Expected Shortfall.

## -- G --

GAS | Generalized Autoregressive Score models in R
getFilteredParameters | Class for the univariate GAS fitted object
getFilteredParameters-method | Class for the Multivariate GAS fitted object
getFilteredParameters-method | Class for Multivariate GAS Simulation
getFilteredParameters-method | Class for the univariate GAS fitted object
getFilteredParameters-method | Class for Univariate GAS Simulation
getForecast | Class for the univariate GAS rolling object
getForecast-method | Class for the Multivariate GAS Forecast object
getForecast-method | Class for the Multivariate GAS Rolling object
getForecast-method | Class for the univariate GAS forecast object
getForecast-method | Class for the univariate GAS rolling object
getMoments | Class for the univariate GAS fitted object
getMoments-method | Class for the Multivariate GAS fitted object
getMoments-method | Class for the Multivariate GAS Forecast object
getMoments-method | Class for the Multivariate GAS Rolling object
getMoments-method | Class for Multivariate GAS Simulation
getMoments-method | Class for the univariate GAS fitted object
getMoments-method | Class for the univariate GAS forecast object
getMoments-method | Class for the univariate GAS rolling object
getMoments-method | Class for Univariate GAS Simulation
getObs | Class for the univariate GAS fitted object
getObs-method | Class for the Multivariate GAS fitted object
getObs-method | Class for Multivariate GAS Simulation
getObs-method | Class for the univariate GAS fitted object
getObs-method | Class for the univariate GAS forecast object
getObs-method | Class for the univariate GAS rolling object
getObs-method | Class for Univariate GAS Simulation
Goals | data: Goals scored by England against Scotland in international football matches.

## -- I --

IM_Uni | Distributions of the GAS package

## -- L --

LogScore | Class for the univariate GAS rolling object
LogScore-method | Class for the Multivariate GAS Forecast object
LogScore-method | Class for the Multivariate GAS Rolling object
LogScore-method | Class for the univariate GAS forecast object
LogScore-method | Class for the univariate GAS rolling object
LowerA | Numerical bounds imposed in parameters transformation.
LowerB | Numerical bounds imposed in parameters transformation.
LowerNu | Numerical bounds imposed in parameters transformation.

## -- M --

MapR_C | Mapping function for univariate distributions
mdist_Uni | Distributions of the GAS package
mGASFit | Class for the Multivariate GAS fitted object
mGASFit-class | Class for the Multivariate GAS fitted object
mGASFor | Class for the Multivariate GAS Forecast object
mGASFor-class | Class for the Multivariate GAS Forecast object
mGASMultiForcast | Forecast with multivariate GAS models
mGASRoll | Class for the Multivariate GAS Rolling object
mGASRoll-class | Class for the Multivariate GAS Rolling object
mGASSim | Class for Multivariate GAS Simulation
mGASSim-class | Class for Multivariate GAS Simulation
mGASSpec | Class for the Multivariate GAS model specification
mGASSpec-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 parameters transformation.

## -- P --

pdist_Uni | Distributions of the GAS package
pit | Class for the univariate GAS fitted object
pit-method | Class for the univariate GAS fitted object
pit-method | Class for the univariate GAS forecast object
pit-method | Class for the univariate GAS rolling object
PIT_test | Goodness of fit for conditional densities
plot | Plot output from an object of the from the GAS package.
plot-method | Class for the Multivariate GAS fitted object
plot-method | Class for the Multivariate GAS Forecast object
plot-method | Class for the Multivariate GAS Rolling object
plot-method | Class for Multivariate GAS Simulation
plot-method | Class for the univariate GAS fitted object
plot-method | Class for the univariate GAS forecast object
plot-method | Class for the univariate GAS rolling object
plot-method | Class for Univariate GAS Simulation
PlotMenu | Plot output from an object of the from the GAS package.

## -- Q --

qdist_Uni | Distributions of the GAS package
quantile-method | Class for the univariate GAS fitted object
quantile-method | Class for the univariate GAS forecast object
quantile-method | Class for the univariate GAS rolling object
quantile-method | Class for Univariate GAS Simulation
Quantiles | Distributions of the GAS package

## -- R --

rdist_Multi | Distributions of the GAS package
rdist_Uni | Distributions of the GAS package
residuals | Class for the univariate GAS fitted object
residuals-method | Class for the Multivariate GAS fitted object
residuals-method | Class for the Multivariate GAS Rolling object
residuals-method | Class for the univariate GAS fitted object
residuals-method | Class for the univariate GAS rolling object
rmvt_mat | Distributions of the GAS package

## -- S --

Score_Multi | Distributions of the GAS package
Score_Uni | Distributions of the GAS package
show-method | Class for the Multivariate GAS fitted object
show-method | Class for the Multivariate GAS Forecast object
show-method | Class for the Multivariate GAS Rolling object
show-method | Class for Multivariate GAS Simulation
show-method | Class for the Multivariate GAS model specification
show-method | Class for the univariate GAS fitted object
show-method | Class for the univariate GAS forecast object
show-method | Class for the univariate GAS rolling object
show-method | Class for Univariate GAS Simulation
show-method | 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
summary-method | Class for the Multivariate GAS fitted object
summary-method | Class for the univariate GAS fitted object

## -- T --

tqdata | Data from Bien et al (2011).

## -- U --

uGASFit | Class for the univariate GAS fitted object
uGASFit-class | Class for the univariate GAS fitted object
uGASFor | Class for the univariate GAS forecast object
uGASFor-class | Class for the univariate GAS forecast object
uGASMultiForcast | Forecast with univariate GAS models
uGASRoll | Class for the univariate GAS rolling object
uGASRoll-class | Class for the univariate GAS rolling object
uGASSim | Class for Univariate GAS Simulation
uGASSim-class | Class for Univariate GAS Simulation
uGASSpec | Class for the univariate GAS model specification
uGASSpec-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 parameters transformation.
UpperB | Numerical bounds imposed in parameters transformation.
UpperNu | Numerical bounds imposed in parameters transformation.
usunp | US Monthly Civilian Unemployment Rate (UNRATE) from 1948-01-01 to 2016-05-01