geovolTest | R Documentation |
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.
geovolTest(e)
e |
matrix, multivariate time series or |
The average correlation, the test statistic and the p-value.
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
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)
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