hvol {emhawkes}

Compute Hawkes volatility

Description

This function computes Hawkes volatility. Only works for bi-variate Hawkes process.

Usage

hvol(
  object,
  horizon = 1,
  inter_arrival = NULL,
  type = NULL,
  mark = NULL,
  dependence = FALSE,
  lambda_component0 = NULL,
  ...
)

## S4 method for signature 'hspec'
hvol(
  object,
  horizon = 1,
  inter_arrival = NULL,
  type = NULL,
  mark = NULL,
  dependence = FALSE,
  lambda_component0 = NULL,
  ...
)

Arguments

object

hspec-class

horizon

Time horizon for volatility.

inter_arrival

Inter-arrival times of events which includes inter-arrival for events that occur in all dimensions. Start with zero.

type

A vector of dimensions. Distinguished by numbers, 1, 2, 3, and so on. Start with zero.

mark

A vector of mark (jump) sizes. Start with zero.

dependence

Dependence between mark and previous sigma-algebra.

lambda_component0

A matrix of the starting values of lambda component.

...

Further arguments passed to or from other methods.