ScoreDrivenModels.jl

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ScoreDrivenModels.jl is a Julia package for modeling, forecasting, and simulating time series with score-driven models, also known as generalized autoregressive score models (GAS). Implementations are based on the paper Generalized Autoregressive Models with Applications by D. Creal, S. J. Koopman, and A. Lucas.

This package is registered so you can simply add it using Julia's Pkg manager:

pkg> add ScoreDrivenModels

If you use ScoreDrivenModels.jl in your work, we kindly ask you to cite the package paper:

@article{bodin2020scoredrivenmodels,
    title={ScoreDrivenModels.jl: a Julia Package for Generalized Autoregressive Score Models},
    author={Bodin, Guilherme and Saavedra, Raphael and Fernandes, Cristiano and Street, Alexandre},
    journal={arXiv preprint arXiv:2008.05506},
    year={2020}
}