Generalized Autoregressive Score Models in R: The GAS Package

This paper presents the R package GAS for the analysis of time series under the Generalized Autoregressive Score (GAS) framework of Creal et al. (2013) and Harvey (2013). The distinctive feature of the GAS approach is the use of the score function as the driver of time{variation in the parameters of nonlinear models. The GAS package provides functions to simulate univariate and multivariate GAS processes, estimate the GAS parameters and to make...