Generalized Autoregressive Score Models
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Documentation for package ‘GAS’ version 0.3.4
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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 |