geovol-package: Geopolitical Volatility (GEOVOL) Modelling

In geovol: Geopolitical Volatility (GEOVOL) Modelling

Geopolitical Volatility (GEOVOL) Modelling

Description

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.

Details

Package:	GEOVOL
Type:	Package
Version:	1.1
Date:	2025-05-06
License:	GPL>=2

Author(s)

Susana Campos-Martins, https://sites.google.com/site/susanacamposmartins/

Maintainer: Susana Campos-Martins

References

Engle, R.F. and Campos-Martins, S. (2023) Measuring and hedging geopolitical risk, Journal of Financial Economics 147: 221–242. Available at \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jfineco.2022.09.009")}.

See Also

geovol, geovolSim, geovolTest

Examples

set.seed(123)

## Simulate from a GEOVOL model (default):
eSim <- geovolSim(n = 1500, m = 30)

## Test for GEOVOL:
geovolTest(e = eSim^2-1)

## Estimate a GEOVOL model:
eEst <- geovol(e = eSim)
eEst

geovol documentation built on June 8, 2025, 11:38 a.m.