VFEVD {ConnectednessApproach}

Generalized volatility forecast error variance decomposition and volatility impulse response functions

Description

This function provides the volatility impulse responses and the forecast error variance decomposition of DCC-GARCH models.

Usage

VFEVD(fit, nfore = 100, standardize = FALSE)

Arguments

fit

Fitted DCC-GARCH model

nfore

H-step ahead forecast horizon

standardize

Boolean value whether GIRF should be standardized

Value

Get volatility impulse response functions and forecast error variance decomposition

Author(s)

David Gabauer

References

Gabauer, D. (2020). Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms. Journal of Forecasting, 39(5), 788-796.