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:
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')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 3 years agofrom:650ea393e0. Checks:OK: 1 NOTE: 1. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Sep 12 2024 |
| R-4.5-linux | NOTE | Sep 12 2024 |
Exports:coef.geovolfitted.geovolgeovolgeovolObjgeovolSimgeovolTestlogLik.geovolnobs.geovolprint.geovolresiduals.geovol
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Geopolitical Volatility (GEOVOL) Modelling | geovol-package |
| Extraction functions for a 'geovol' object | coef.geovol fitted.geovol logLik.geovol nobs.geovol print.geovol residuals.geovol |
| Estimate GEOVOL and GEOVOL loadings | geovol |
| Auxiliary function | geovolObj |
| Simulate from a GEOVOL model | geovolSim |
| Test for GEOVOL | geovolTest |