gasmodel - Generalized Autoregressive Score Models
Estimation, forecasting, and simulation of generalized
autoregressive score (GAS) models of Creal, Koopman, and Lucas
(2013) <doi:10.1002/jae.1279> and Harvey (2013)
<doi:10.1017/cbo9781139540933>. Model specification allows for
various data types and distributions, different
parametrizations, exogenous variables, joint and separate
modeling of exogenous variables and dynamics, higher score and
autoregressive orders, custom and unconditional initial values
of time-varying parameters, fixed and bounded values of
coefficients, and missing values. Model estimation is performed
by the maximum likelihood method.
