VFEVD: Generalized volatility forecast error variance decomposition...
In ConnectednessApproach: Connectedness Approach
VFEVD R Documentation
Generalized volatility forecast error variance decomposition and volatility impulse response functions
Description
This function provides the volatility impulse responses and the forecast error variance decomposition of DCC-GARCH models.
Usage
VFEVD(fit, nfore = 100, standardize = FALSE)
Arguments
fit
Fitted DCC-GARCH model
nfore
H-step ahead forecast horizon
standardize
Boolean value whether GIRF should be standardized
Value
Get volatility impulse response functions and forecast error variance decomposition
Author(s)
David Gabauer
References
Gabauer, D. (2020). Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms. Journal of Forecasting, 39(5), 788-796.
ConnectednessApproach documentation built on Aug. 31, 2022, 5:05 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| VFEVD | R Documentation |
Generalized volatility forecast error variance decomposition and volatility impulse response functions
Description
This function provides the volatility impulse responses and the forecast error variance decomposition of DCC-GARCH models.
Usage
VFEVD(fit, nfore = 100, standardize = FALSE)
Arguments
fit |
Fitted DCC-GARCH model |
nfore |
H-step ahead forecast horizon |
standardize |
Boolean value whether GIRF should be standardized |
Value
Get volatility impulse response functions and forecast error variance decomposition
Author(s)
David Gabauer
References
Gabauer, D. (2020). Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms. Journal of Forecasting, 39(5), 788-796.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.