comVol {MTS} | R Documentation |
Common Volatility
Description
Compute the principal volatility components based on the residuals of a VAR(p) model.
Usage
comVol(rtn, m = 10, p = 1, stand = FALSE)
Arguments
rtn |
A T-by-k data matrix of k-dimensional asset returns |
m |
The number of lags used to compute generalized cross-Kurtosis matrix |
p |
VAR order for the mean equation |
stand |
A logical switch to standardize the returns |
Details
Perform a VAR(p) fit, if any. Then, use the residual series to perform principal volatility component analysis. The ARCH test statistics are also computed for the sample principal components
Value
residuals |
The residuals of a VAR(p) fit |
values |
Eigenvalues of the principal volatility component analysis |
vectors |
Eigenvectors of the principal volatility component analysis |
M |
The transformation matrix |
Author(s)
Ruey S. Tsay and Y.B. Hu
References
Tsay (2014, Chapter 7)
Examples
data("mts-examples",package="MTS")
zt=diffM(log(qgdp[,3:5]))
m1=comVol(zt,p=2)
names(m1)
[Package MTS version 1.2.1 Index]