GAS model explained: Generalised autoregressive score (Excel)

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.
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[@muratkoptur]

Great video! Thank you.

[@antoineclouet5551]

Thank you very much, it is awesome ! Your video is so helpful ! Can you please add the spreadsheet excel on your drive ?

[@muntedme203]

That's awesome.

[@NEDLeducation]

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

[@MarinusVk]

This was a very useful video, thanks! I checked the drive for the excel file but I can't find it. Is it still available?

[@nangbiaksing2622]

Please performed a generalized spectral test

[@souravlahiri6317]

Please do weibull as well