create_lags_RV: Lags creation: Daily, Weekly, Monthly aggregation for...
In Marga8/HDGCvar: Granger Causality Testing in High Dimensional Vector Autoregressive Models
View source: R/create_lags_RV.R
create_lags_RV R Documentation
Lags creation: Daily, Weekly, Monthly aggregation for Realized Volatilities
Description
Creates a matrix of order 3 containing Daily, Weekly, Monthly returns for Realized Volatilities.
Can include or exclude original series, and trim the NAs in the start of the sample. It should be used for HVARs.
Usage
create_lags_RV(y, include.original = TRUE, trim = TRUE)
Arguments
y
vector or matrix to lag
include.original
logical, if TRUE the original series are left inside the output matrix.
trim
logical, if TRUE the initial NAs due to the lag gets trimmed
Value
the lagged vector or matrix
Marga8/HDGCvar documentation built on May 25, 2024, 11:12 a.m.
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View source: R/create_lags_RV.R
| create_lags_RV | R Documentation |
Lags creation: Daily, Weekly, Monthly aggregation for Realized Volatilities
Description
Creates a matrix of order 3 containing Daily, Weekly, Monthly returns for Realized Volatilities. Can include or exclude original series, and trim the NAs in the start of the sample. It should be used for HVARs.
Usage
create_lags_RV(y, include.original = TRUE, trim = TRUE)
Arguments
y |
vector or matrix to lag |
include.original |
logical, if TRUE the original series are left inside the output matrix. |
trim |
logical, if TRUE the initial NAs due to the lag gets trimmed |
Value
the lagged vector or matrix
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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