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geovol: Geopolitical Volatility (GEOVOL) Modelling
Simulation, estimation and testing for geopolitical volatility (GEOVOL) based on the global common volatility model of Engle and Campos-Martins (2023) <doi:10.1016/j.jfineco.2022.09.009>. GEOVOL is modelled as a latent multiplicative volatility factor with heterogeneous factor loadings. Estimation is carried out as a maximization-maximization procedure, where GEOVOL and the GEOVOL loadings are estimated iteratively until convergence.
Getting started
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Package details |
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| Author | Susana Campos-Martins [aut, cre] |
| Maintainer | Susana Campos-Martins <scmartins@ucp.pt> |
| License | GPL (>= 2) |
| Version | 1.1 |
| URL | https://sites.google.com/site/susanacamposmartins/ |
| Package repository | View on CRAN |
| Installation |
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