newsimpact.tsmarch: News Impact Surface

In tsmarch: Multivariate ARCH Models

News Impact Surface

Description

News impact surface of a model

Usage

## S3 method for class 'cgarch.estimate'
newsimpact(object, epsilon = NULL, pair = c(1, 2), type = "correlation", ...)

## S3 method for class 'dcc.estimate'
newsimpact(object, epsilon = NULL, pair = c(1, 2), type = "correlation", ...)

## S3 method for class 'gogarch.estimate'
newsimpact(
  object,
  epsilon = NULL,
  pair = c(1, 2),
  factor = c(1, 1),
  type = "correlation",
  ...
)

Arguments

object	an object of one of the estimated model classes in the package.
epsilon	not used.
pair	the pair of series for which to generate the news impact surface.
type	either “correlation” or “covariance”.
...	additional parameters passed to the method.
factor	the pair of factors for which to generate the news impact surface for the GOGARCH model.

Value

An object of class “tsmarch.newsimpact” which has a plot method.

tsmarch documentation built on April 3, 2025, 7:40 p.m.