Package: geovol 1.0

Susana Campos-Martins

geovol: Geopolitical Volatility (GEOVOL) Modelling

Simulation, estimation and inference for the geopolitical volatility (GEOVOL) model of Engle and Campos-Martins (2020) <doi:10.2139/ssrn.3685213>, where GEOVOL is modelled as a latent multiplicative volatility factor with heterogeneous factor loadings. Estimation is carried out as a maximization-maximization procedure, where GEOVOL and the GEOVOL loadings are estimated iteratively until convergence.

Authors:Susana Campos-Martins [aut, cre]

geovol_1.0.tar.gz
geovol_1.0.tar.gz(r-4.5-noble)geovol_1.0.tar.gz(r-4.4-noble)
geovol_1.0.tgz(r-4.4-emscripten)geovol_1.0.tgz(r-4.3-emscripten)
geovol.pdf |geovol.html
geovol/json (API)
NEWS

# Install 'geovol' in R:
install.packages('geovol', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 1 scripts 117 downloads 10 exports 2 dependencies

Last updated 3 years agofrom:650ea393e0. Checks:OK: 1 NOTE: 1. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 11 2024
R-4.5-linuxNOTEDec 11 2024

Exports:coef.geovolfitted.geovolgeovolgeovolObjgeovolSimgeovolTestlogLik.geovolnobs.geovolprint.geovolresiduals.geovol

Dependencies:latticezoo

Readme and manuals

Help Manual

Help pageTopics
Geopolitical Volatility (GEOVOL) Modellinggeovol-package
Extraction functions for a 'geovol' objectcoef.geovol fitted.geovol logLik.geovol nobs.geovol print.geovol residuals.geovol
Estimate GEOVOL and GEOVOL loadingsgeovol
Auxiliary functiongeovolObj
Simulate from a GEOVOL modelgeovolSim
Test for GEOVOLgeovolTest