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.
matrix, multivariate time series or
The average correlation, the test statistic and the p-value.
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.
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