comVol: Common Volatility

Description

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

Usage

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comVol(rtn, m = 10, p = 1, stand = FALSE)

Arguments

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

Details

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

Value

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

Author(s)

Ruey S. Tsay and Y.B. Hu

References

Tsay (2014, Chapter 7)

Examples

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data("mts-examples",package="MTS")
zt=diffM(log(qgdp[,3:5]))
m1=comVol(zt,p=2)
names(m1)

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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