| GAS-package | Generalized Autoregressive Score models in R |
| BacktestDensity | Backtest a series of one step ahead density predictions. |
| BacktestVaR | Backtest Value at Risk (VaR) |
| build_mR | Mapping function for univariate distributions |
| 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 |
| 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 |
| 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 |
| IM_univ | Distributions of the GAS package. |
| 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. |
| 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 |
| NumberParameters | Information for the supported distributions |
| NumericalBounds | Numerical bounds imposed in parameter transformation. |
| 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 |
| 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. |
| rdist_multi | Distributions of the GAS package. |
| rdist_univ | Distributions of the GAS package. |
| rmvt_mat | Distributions of the GAS package. |
| 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 |
| tqdata | data: Data from Bien et al (2011). |
| 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 |