dynamic.spillover: dynamnic_spillover is a function for estimating DY...

In Spillover: Spillover/Connectedness Index Based on VAR Modelling

dynamnic_spillover is a function for estimating DY directional spillovers.

Description

dynamnic_spillover is a function for estimating DY directional spillovers.

Usage

dynamic.spillover(
  data,
  width,
  n.ahead = 10,
  standardized = TRUE,
  na.fill = FALSE,
  remove.own = TRUE,
  ...
)

Arguments

data	a data.frame consisting of dates in its first column and numeric variables for the others
width	a integer specifying the window width in number of observations.
n.ahead	An integer indicating the how many steps ahead the spillover should be forecasted.
standardized	A logical value indicating whether the values should be divided by the number of columns to get a percentage.
na.fill	A logical value for filling with NA at the begining window due to width.
remove.own	should own directional spillover be removed?
...	Further arguments to be passed to var function

Value

A list of data.frames holding all directional spillovers as described in Diebold and Yilmaz (2012)

Examples

data(dy2012)

dy_results <- dynamic.spillover(data=dy2012, width=200, remove.own = FALSE) 
 

Spillover documentation built on June 22, 2024, 12:25 p.m.