hvol | R Documentation |
This function computes Hawkes volatility. Only works for bi-variate Hawkes process.
hvol( object, horizon = 1, inter_arrival = NULL, type = NULL, mark = NULL, dependence = FALSE, lambda_component0 = NULL, ... ) ## S4 method for signature 'hspec' hvol( object, horizon = 1, inter_arrival = NULL, type = NULL, mark = NULL, dependence = FALSE, lambda_component0 = NULL, ... )
object |
|
horizon |
Time horizon for volatility. |
inter_arrival |
Inter-arrival times of events which includes inter-arrival for events that occur in all dimensions. Start with zero. |
type |
A vector of dimensions. Distinguished by numbers, 1, 2, 3, and so on. Start with zero. |
mark |
A vector of mark (jump) sizes. Start with zero. |
dependence |
Dependence between mark and previous sigma-algebra. |
lambda_component0 |
A matrix of the starting values of lambda component. |
... |
Further arguments passed to or from other methods. |
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