sample_RV: Dataset of simulated Realized Volatilities via HAR(1,5,22)
In Marga8/HDGCvar: Granger Causality Testing in High Dimensional Vector Autoregressive Models
sample_RV R Documentation
Dataset of simulated Realized Volatilities via HAR(1,5,22)
Description
A dataset of 30 Realized Volatility time series of sample T=200 obtined by simulating 30 random instances from a
Heterogeneous Autoregressive (HAR) model with daily, weekly and monthly lags. The simulations are obtained using HARSimulate from the HARModel package.
Usage
sample_RV
Format
A matrix of 30 columns and 200 rows where each column correspond to a single Realized Volatility time series.
- T_
The sample size
- g
The number of covariates
- len
Time series length
- periods
daily, weekly and monthly lags
- coef
Coefficients: constant, daily lag, weekly lag, monthly lag
- errorTermSD
standard deviation of the error term
Marga8/HDGCvar documentation built on May 25, 2024, 11:12 a.m.
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| sample_RV | R Documentation |
Dataset of simulated Realized Volatilities via HAR(1,5,22)
Description
A dataset of 30 Realized Volatility time series of sample T=200 obtined by simulating 30 random instances from a
Heterogeneous Autoregressive (HAR) model with daily, weekly and monthly lags. The simulations are obtained using HARSimulate from the HARModel package.
Usage
sample_RV
Format
A matrix of 30 columns and 200 rows where each column correspond to a single Realized Volatility time series.
- T_
The sample size
- g
The number of covariates
- len
Time series length
- periods
daily, weekly and monthly lags
- coef
Coefficients: constant, daily lag, weekly lag, monthly lag
- errorTermSD
standard deviation of the error term
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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