Spillover/Connectedness Index Based on VAR Modelling

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Documentation for package ‘Spillover’ version 0.1.1

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

Spillover-package	Spillover
dy2009	Diebold and Yilmaz (2009) dataset
dy2012	Diebold and Yilmaz (2012) dataset
dynamic.spillover	dynamnic_spillover is a function for estimating DY directional spillovers.
g.fevd	Generalized Forecast Error Variance Decomposition
G.spillover	Generalized spillover index
net	Net spillovers
O.spillover	Orthogonalized spillover index
plotdy	Plot directional spillover index
rol.returns	Two-days Rolling Average Returns
rol.vol	Two-days Rolling Average Intra-day Volatilities
roll.net	Dynamic Spillover Index
roll.spillover	Dynamic Spillover Index
Spillover	Spillover
stock.prices	Daily Stock Prices
total.dynamic.spillover	Dynamic Spillover Index