Package: geovol 1.1

geovol: Geopolitical Volatility (GEOVOL) Modelling

Simulation, estimation and testing for geopolitical volatility (GEOVOL) based on the global common volatility model of Engle and Campos-Martins (2023) <doi:10.1016/j.jfineco.2022.09.009>. 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_1.1.tar.gz
geovol_1.1.zip(r-4.7)geovol_1.1.zip(r-4.6)geovol_1.1.zip(r-4.5)
geovol_1.1.tgz(r-4.6-any)geovol_1.1.tgz(r-4.5-any)
geovol_1.1.tar.gz(r-4.7-any)geovol_1.1.tar.gz(r-4.6-any)
geovol_1.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
geovol/json (API)
NEWS

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

On CRAN:

Conda:

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

1.00 score 1 stars 567 downloads 10 exports 2 dependencies

Last updated from:a335b71339. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK107
source / vignettesOK153
linux-release-x86_64OK97
macos-release-arm64OK125
macos-oldrel-arm64OK140
windows-develOK69
windows-releaseOK63
windows-oldrelOK71
wasm-releaseOK87

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 summary.geovol
Estimate GEOVOL and GEOVOL loadingsgeovol
Auxiliary functiongeovolObj
Simulate from a GEOVOL modelgeovolSim
Test for GEOVOLgeovolTest