Generalized Autoregressive Score models

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Nordpool Electricity Prices
GAS estimated volatility paths for Nordpool electricity prices based on the Student's t distribution and the Gaussian distribution. The Gaussian GAS volatility model coincides with the familiar GARCH model (more information)

Generalized Autoregressive Score (GAS) models, also known as Dynamic Conditional Score (DCS) models, provide a general framework for modeling time variation in parametric models. The key features are:

These models have been applied successfully in areas such as default and credit risk modeling, stock volatility and correlation modeling, modeling time varying dependence structures, CDS spread modeling and questions relating to financial stability and systemic risk, modeling high frequency data, etc.

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Send us your feedback or your contributions on GAS modeling at a.lucas@vu.nl.

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Before using any of the software, please read the legal disclaimer.