| geovol-package {geovol} | R Documentation |
Geopolitical Volatility (GEOVOL) Modelling
Description
Simulation, estimation and inference for the geopolitical volatility (GEOVOL) model of Engle and Campos-Martins (2020) <doi:10.2139/ssrn.3685213>, where GEOVOL is modelled as a latent multiplicative volatility factor with heterogeneous factor loadings. Estimation is carried out as a maximization-maximization procedure, where GEOVOL and the GEOVOL loadings are estimated iteratively until convergence.
Details
| Package: | GEOVOL |
| Type: | Package |
| Version: | 1.0 |
| Date: | 2021-07-08 |
| License: | GPL>=2 |
Author(s)
Susana Campos-Martins, https://sites.google.com/site/susanacamposmartins/
Maintainer: Susana Campos-Martins
References
Engle, R.F. and Campos-Martins, S. (2020) Measuring and hedging geopolitical risk. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3685213.
See Also
Examples
set.seed(123)
## Simulate from a GEOVOL model (default):
eSim <- geovolSim(n = 1500, m = 30)
## Test for GEOVOL:
geovolTest(e = eSim^2-1)
## Estimate a GEOVOL model:
eEst <- geovol(e = eSim)
eEst
[Package geovol version 1.0 Index]