GASMODEL.COM

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... Generalized Autoregressive Score models were proposed in their full generality in Creal, Koopman and Lucas (2008) as developed at the time at VU University Amsterdam; see the GAS papers section of the site. Simultaneously, Harvey and Chakravarty (2008) in Cambridge developed a score driven model specifically for volatilities, called the Beta-t-(E)GARCH model, built on exactly the same philosophy. The Beta-t-(E)GARCH is a special case of a GAS model... The idea is very simple. Consider a conditional observation density \(p(y_t | f_t)\) for observations \(y_t\) and a time varying parameter \(f_t\). Assume the parameter \(f_t\) follows the recursion