Description Usage Arguments Details Value Author(s) References Examples

Compute the principal volatility components based on the residuals of a VAR(p) model.

1 |

`rtn` |
A T-by-k data matrix of k-dimensional asset returns |

`m` |
The number of lags used to compute generalized cross-Kurtosis matrix |

`p` |
VAR order for the mean equation |

`stand` |
A logical switch to standardize the returns |

Perform a VAR(p) fit, if any. Then, use the residual series to perform principal volatility component analysis. The ARCH test statistics are also computed for the sample principal components

`residuals` |
The residuals of a VAR(p) fit |

`values` |
Eigenvalues of the pricipal volatility component analysis |

`vectors` |
Eigenvectors of the principal volatility component analysis |

`M` |
The transformation matrix |

Ruey S. Tsay and Y.B. Hu

Tsay (2014, Chapter 7)

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MTS documentation built on May 19, 2017, 2:35 p.m.

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