hvol: Compute Hawkes volatility

In ksublee/emhawkes: Exponential Multivariate Hawkes Model

Compute Hawkes volatility

Description

This function computes Hawkes volatility. Only works for bi-variate Hawkes process.

Usage

hvol(
  object,
  horizon = 1,
  inter_arrival = NULL,
  type = NULL,
  mark = NULL,
  dependence = FALSE,
  lambda_component0 = NULL,
  ...
)

## S4 method for signature 'hspec'
hvol(
  object,
  horizon = 1,
  inter_arrival = NULL,
  type = NULL,
  mark = NULL,
  dependence = FALSE,
  lambda_component0 = NULL,
  ...
)

Arguments

object	hspec-class
horizon	Time horizon for volatility.
inter_arrival	Inter-arrival times of events which includes inter-arrival for events that occur in all dimensions. Start with zero.
type	A vector of dimensions. Distinguished by numbers, 1, 2, 3, and so on. Start with zero.
mark	A vector of mark (jump) sizes. Start with zero.
dependence	Dependence between mark and previous sigma-algebra.
lambda_component0	A matrix of the starting values of lambda component.
...	Further arguments passed to or from other methods.

ksublee/emhawkes documentation built on Feb. 2, 2023, 12:36 p.m.