geovol-package: Geopolitical Volatility (GEOVOL) Modelling

In geovol: Geopolitical Volatility (GEOVOL) Modelling

Description

Simulation, estimation and inference for the geopolitical volatility (GEOVOL) model of Engle and Campos-Martins (2020) <doi:10.2139/ssrn.3685213>, where 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:	1.0
Date:	2021-07-08
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. (2020) Measuring and hedging geopolitical risk. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3685213.

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 July 9, 2021, 9:09 a.m.