geovolTest: Test for GEOVOL
In geovol: Geopolitical Volatility (GEOVOL) Modelling
Description
Usage
Arguments
Value
Author(s)
References
See Also
Examples
Description
Compute the GEOVOL test statistic for examining the null hypothesis that the average correlation of the squared volatility standardized residuals (which should be uncorrelated) is zero against the alternative that it is positive.
Usage
1
geovolTest(e)
Arguments
e
matrix, multivariate time series or zoo object.
Value
The average correlation, the test statistic and the p-value.
Author(s)
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
Examples
1
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3
4
5
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7
set.seed(123)
## Simulate from a GEOVOL model with s.d. 0.5 (default):
eSim <- geovolSim(n = 1500, m = 30)
## Test for GEOVOL:
geovolTest(e = eSim^2-1)
geovol documentation built on July 9, 2021, 9:09 a.m.
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Description Usage Arguments Value Author(s) References See Also Examples
Description
Compute the GEOVOL test statistic for examining the null hypothesis that the average correlation of the squared volatility standardized residuals (which should be uncorrelated) is zero against the alternative that it is positive.
Usage
1 | geovolTest(e)
|
Arguments
e |
matrix, multivariate time series or |
Value
The average correlation, the test statistic and the p-value.
Author(s)
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
Examples
1 2 3 4 5 6 7 | set.seed(123)
## Simulate from a GEOVOL model with s.d. 0.5 (default):
eSim <- geovolSim(n = 1500, m = 30)
## Test for GEOVOL:
geovolTest(e = eSim^2-1)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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