geovol-package | R Documentation |
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.
Package: | GEOVOL |
Type: | Package |
Version: | 1.1 |
Date: | 2025-05-06 |
License: | GPL>=2 |
Susana Campos-Martins,
https://sites.google.com/site/susanacamposmartins/
Maintainer: Susana Campos-Martins
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")}.
geovol
, geovolSim
, geovolTest
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
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.