gasmodel: An R Package for Generalized Autoregressive Score Models

Abstract: Generalized autoregressive score (GAS) models are a class of observation-driven time series models that employ the score to dynamically update time-varying parameters of the underlying probability distribution. GAS models have been extensively studied and numerous variants have been proposed in the literature to accommodate diverse data types and probability distributions. This paper introduces the gasmodel package, which has been designed to facilitate the estimation, forecasting, and simulation of a wide range of GAS models. The package provides a rich selection of distributions, offers flexible options for specifying dynamics, and allows to incorporate exogenous variables. Model estimation utilizes the maximum likelihood method.