roll.net {Spillover}

Dynamic Spillover Index

Description

Estimates the dynamic spillover index given a moving window as described in Diebold and Yilmaz (2012). We recommend switching to dynamic.spillover.

Usage

roll.net(
  data,
  width,
  n.ahead = 10,
  index = c("orthogonalized", "generalized"),
  ortho.type = c("partial", "total"),
  ...
)

Arguments

data

Object of class ‘zoo’.

width

An integer specifying the window width which is aligned to the original sample.

n.ahead

An integer indicating the how many steps ahead the spillover should be forecasted.

index

A character string indicating whether the orthogonalized or the generalized index is computed.

ortho.type

A character string indicating the type of orthogonalized index is required. "partial" takes a random sample out of all the possible combinations generated for the Choleski decomposition, while "total" uses all the combinations, therefore it takes more time to finish.

...

Further arguments to be passed to VAR function from vars package.

Value

A zoo object holding all the net spillover index estimations.

Author(s)

Jilber Urbina

References

Diebold, F. X. & Yilmaz, K.(2012). Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers. International Journal of Forecasting.

Examples

data(dy2012) 
G_net <- roll.net(as.zoo(dy2012[1:300,c(2,3,4)]), width = 200, index="generalized")

data(dy2012)
# orthogonalized rolling net spillover index, based on a VAR(2)
O_net_dy2012 <- roll.net(as.zoo(dy2012[,-1]), width = 200) 
# Generalized rolling net spillover index, based on a VAR(2)
G_net_dy2012 <- roll.net(as.zoo(dy2012[,-1]), width = 200, index="generalized")