geovol | R Documentation |
Maximum likehlihood estimation of the GEOVOL and GEOVOL loadings. Estimation is carried out as a maximization-maximization procedure, where the latent multiplicative volatility factor and the factor loadings are estimated iteratively until convergence. Either a balanced or an unbalanced panel can be used. For each point in time t, GEOVOL is estimated using all the available values in the cross-section. The GEOVOL loadings are estimated for each time series.
geovol(e, initial.values = list())
e |
matrix, multivariate time series or |
initial.values |
a list containing the initial parameter values passed on
to the optimization routine (optim for the GEOVOL factor and loadings.
If list(), the default, then the values are chosen automatically; |
An object of class 'geovol'.
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
,
optim
,
set.seed(123)
## Simulate from a GEOVOL model (default):
eSim <- geovolSim(n = 1000, m = 30)
## Test for GEOVOL
geovolTest(e = eSim^2-1)
## Estimate a GEOVOL model:
geovolEst <- geovol(e = eSim)
## Print estimation results:
print(geovolEst)
## Extract coefficients:
coef(geovolEst)
## Extract and store GEOVOL:
sigma2Est <- fitted(geovolEst)
## Extract optimised log-likelihood values:
logLik(geovolEst)
## Extract and store GEOVOL standardised residuals:
etaEst <- residuals(geovolEst)
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