geovolTest: Test for GEOVOL

In geovol: Geopolitical Volatility (GEOVOL) Modelling

Test for GEOVOL

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

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. (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

Examples

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 June 8, 2025, 11:38 a.m.