Рет қаралды 1,635
Generalised autoregressive score models (GAS) are a broad and flexible class of models that implement the logic of time-varying distribution parameters and gradient descent. Today we are discussing the concepts behind GAS models, their advantages and limitations compared to GARCH and ARCD models, their mathematical foundation, and the implementation of GAS models in Excel on an example of a normal distribution.
Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Finance!
Please consider supporting NEDL on Patreon: / nedleducation