Generalized Autoregressive Score models

Before using any code, please read the disclaimer.

R code

  1. R package gasmodel.

  2. R code corresponding to Telg, Sean, Anna Dubinova, and Andre Lucas (in press): "COVID-19, Credit Risk and Macro Fundamentals," Journal of Banking and Finance.
    Computer code: R code files.

  3. R package corresponding to Gorgi, Paolo, Peter R. Hansen, Pawel Janus and Siem Jan Koopman (2018): "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model", Journal of Financial Econometrics.
    Computer code: R package Wishart.

  4. GAS package R by David Ardia, Kris Boudt, and Leopoldo Catania.
    Computer code: R package GAS.
    The 'development' version is available from GitHub at
    Development code: Development R package GAS
    and will be updated more regularly then the one from CRAN.
    Vignette: "Generalized Autoregressive Score Models in R: The GAS Package".

  5. R package betategarch, v3.0:
    Computer code: R package betategarch.
    Vignette: "betategarch: An R Package for the Simulation and Estimation of Beta-skew-t-EGARCH Models".

  6. R package lgarch:
    Computer code: R package lgarch.
    Working paper: "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns".

  7. R code for simulations plus estimation of HMM with time varying transition probabilities corresponding to Bazzi, Blasques, Koopman, Lucas (2016): "Time Varying Transition Probabilities for Markov Regime Switching Models", Journal of Time Series Analysis.
    Computer code by Marco Bazzi: R package HMM.
    ReadMe file: ReadMe.R.

Python based code and programs

  1. TimeSeriesLab: Package for GAS models with user friendly interface: https://timeserieslab.com by Rutger Lit.

  2. Computer code for simulation in Custodio, Lucas, Schaumburg, Schwaab (in press): "Dynamic Clustering of Multivariate Panel Data", Journal of Econometrics.
    Computer code: Python code.

Matlab code

  1. Opschoor, Anne, Pawel Janus, Andre Lucas, and Dick J. van Dijk (2018): "New HEAVY Models for Fat-Tailed Realized Covariances and Returns", Journal of Business and Economic Statistics, 36(4), 643-657.
    Computer code: Matlab code.

  2. Computer code corresponding to Patton, Andrew J., Johanna F. Ziegel, and Rui Chen (2018): "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)", Journal of Econmetrics.
    Computer code: Matlab code.

  3. Computer code corresponding to Creal, Koopman, Lucas (2013): "Generalized Autoregressive Score Models with Applications", Journal of Applied Econometrics.
    Computer code: Matlab code.

  4. Example GAS volatility program by Rutger Lit, David Kranenburg (update), Marcin Zamojski (update), Matlab:
    Computer code: Matlab code, example data and readme file.

Excel

  1. Youtube Excel intro to GAS models with spreadsheets for the examples by NEDL

Ox code

  1. Computer code for simulation in D'Innocenzo, Lucas, Schwaab, Zhang (2023): "Modeling extreme events: time-varying extreme tail shape", Tinbergen Institute Discussion Paper 20-076/III (conditionally accepted for Journal of Business and Economic Statistics.
    Computer code: Ox code.

  2. Computer code for simulation in Custodio, Lucas, Schaumburg, Schwaab (in press): "Dynamic Clustering of Multivariate Panel Data", Journal of Econometrics.
    Computer code: Ox code. Also Python code available

  3. Computer code for examples in Lucas, Schaumburg, Schwaab (2018): "Bank business models at zero interest rates", Journal of Business and Economic Statistics.
    Computer code: Ox code.

  4. Computer code for Blasques, Francisco, Jiangyu Ji, and Andre Lucas (2016): "Semiparametric score driven volatility models", Journal of Computational Statistics and Data Analysis 100, 58-69.
    Computer code: Ox code.

  5. Computer code corresponding to Creal, Schwaab, Koopman, Lucas (2014): "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Review of Economics and Statistics.
    Computer code: Ox code with macro data.

  6. Computer code corresponding to Creal, Koopman, Lucas (2013): "Generalized Autoregressive Score Models with Applications", Journal of Applied Econometrics.
    Computer code: Ox code.

  7. GAS volatility program, Ox:
    Computer code: Ox code, example data and readme file.

  8. GAS duration program, Ox:
    Computer code: Ox code, example data and readme file.