Spillovers: Spillovers
In lucabarbaglia/t-VAR: Penalized Vector AutoRegressions with t-innovations
Description
Usage
Arguments
Value
Description
Function to compute volatility spillovers and
its index based on forecast error variance decomposition
Usage
1
Spillovers(fit, dec.type = "Generalized", h = 1)
Arguments
fit
t-VAR fit obtained from the function Large.tVAR
dec.type
decomposition for forecast error varaince decomposition: "Cholesky", "Spectral", "Generalized", "GeneralizedIRF" or "Generalized_Lanne". Default "Generalized".
h
forecast horizon for variance decomposition. Default 1.
Value
A list containing:
"spill"
matrix of volatility spillovers.
"spill_index"
volatility spillover index.
lucabarbaglia/t-VAR documentation built on Feb. 27, 2021, 3:46 a.m.
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Description Usage Arguments Value
Description
Function to compute volatility spillovers and its index based on forecast error variance decomposition
Usage
1 | Spillovers(fit, dec.type = "Generalized", h = 1)
|
Arguments
fit |
t-VAR fit obtained from the function Large.tVAR |
dec.type |
decomposition for forecast error varaince decomposition: "Cholesky", "Spectral", "Generalized", "GeneralizedIRF" or "Generalized_Lanne". Default "Generalized". |
h |
forecast horizon for variance decomposition. Default 1. |
Value
A list containing:
"spill" |
matrix of volatility spillovers. |
"spill_index" |
volatility spillover index. |
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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