soi_from_sot: Calculation of the Spillover Index for a given Spillover...

In fastSOM: Fast Calculation of Spillover Measures

Description

Given a spillover table, this function calculates the corresponding spillover index.

Usage

soi_from_sot(input_table)

Arguments

input_table

Either a spillover table or a list thereof

Details

The spillover index was introduced by Diebold and Yilmaz in 2009 (see References). It is based on a variance decompostion of the forecast error variances of an N-dimensional MA(∞) process. The underlying idea is to decompose the forecast error of each variable into own variance shares and cross variance shares. The latter are interpreted as contributions of shocks of one variable to the error variance in forecasting another variable (see also sot). The spillover index then is a number between 0 and 100, describing the relative amount of forecast error variances that can be explained by shocks coming from other variables in the model.

The typical application of the 'list' version of soi_from_sot is a rolling windows approach when input_table is a list representing the corresponding spillover tables at different points in time (rolling windows).

Value

Numeric value or a list thereof.

Author(s)

Stefan Kloessner ([e-mail]),
with contributions by Sven Wagner ([e-mail])

References

[1] Diebold, F. X. and Yilmaz, K. (2009): Measuring financial asset return and volatitliy spillovers, with application to global equity markets, Economic Journal 199(534): 158-171.

[2] Kloessner, S. and Wagner, S. (2012): Exploring All VAR Orderings for Calculating Spillovers? Yes, We Can! - A Note on Diebold and Yilmaz (2009), Journal of Applied Econometrics 29(1): 172-179

See Also

fastSOM-package, soi, sot

Examples

# generate randomly positive definite matrix Sigma of dimension N 
N <- 10
Sigma <- crossprod(matrix(rnorm(N*N),nrow=N)) 
# generate randomly coefficient matrices
H <- 10 
A <- array(rnorm(N*N*H),dim=c(N,N,H)) 
# calculate spillover table
SOT <- sot(Sigma,A) 
# calculate spillover index from spillover table
soi_from_sot(SOT) 

Example output

[1] 88.23934

fastSOM documentation built on Nov. 19, 2019, 5:08 p.m.