G.spillover | R Documentation |
Computes the generalized spillover index proposed in Diebold and Yilmaz (2012) which is based on the General Forecast Variance Decompositon introduced by Pesaran and Shin (1998).
G.spillover(x, n.ahead = 10, standardized = TRUE)
x |
Object of class ‘ |
n.ahead |
Integer specifying the steps ahead. |
standardized |
A logical value indicating whether the values should be divided by the number of columns to get a percentage. |
This function computes the Generalized Directional Spillover Table which has as its
ij^{th}
entry the estimated contribution to the forecast error variance
of variable i coming from innovations to variable j. The off-diagonal
column sums are the Contributions to Others, while the row sums represent
Contributions from Others, when these are totaled across countries then we have
the numerator of the Spillover Index. Similarly, the columns sums or rows sums
(including diagonal), when totaled across countries, give the denominator of the
Spillover Index, which is 100%.
G.spillover
is based upon the General Forecast Error Variance Decompositon introduced by
Pesaran and Shin (1998) and its explicit formulation can be found in Diebold and Yilmaz (2010).
A data.frame
consisting of the spillover index.
Jilber Urbina
Diebold, F. X. & Yilmaz, K.(2012). Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers. International Journal of Forecasting.
Pesaran, M. H. and Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1):17-29.
O.spillover
# Replicating Diebold and Yilmaz (2012)
data(dy2012)
VAR_4 <- VAR(dy2012[,-1], p=4)
G.spillover(VAR_4, standardized = FALSE)
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