GAS: Generalized Autoregressive Score Models

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>.

Version:	0.4.3
Depends:	R (≥ 3.4.0), methods
Imports:	Rcpp (≥ 0.12.2), Rsolnp, MASS, xts, numDeriv, zoo, cubature
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	testthat
Published:	2026-10-30
DOI:	10.32614/CRAN.package.GAS
Author:	Leopoldo Catania [aut, cre], David Ardia [ctb], Kris Boudt [ctb]
Maintainer:	Leopoldo Catania <leopoldo.catania at econ.au.dk>
BugReports:	https://github.com/LeopoldoCatania/GAS/issues
License:	GPL-3
URL:	https://github.com/LeopoldoCatania/GAS
NeedsCompilation:	yes
Citation:	GAS citation info
Materials:	README, ChangeLog
CRAN checks:	GAS results

Documentation:

Reference manual:

GAS.html , GAS.pdf

Downloads:

Package source:	GAS_0.4.3.tar.gz
Windows binaries:	r-devel: not available, r-release: not available, r-oldrel: not available
macOS binaries:	r-release (arm64): GAS_0.4.3.tgz, r-oldrel (arm64): not available, r-release (x86_64): GAS_0.4.3.tgz, r-oldrel (x86_64): GAS_0.4.3.tgz
Old sources:	GAS archive

Linking:

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