geovol (version 1.0)

geovolTest: Test for GEOVOL

Description

Compute the GEOVOL test statistic for examining the null hypothesis that the average correlation of the squared volatility standardized residuals (which should be uncorrelated) is zero against the alternative that it is positive.

Usage

geovolTest(e)

Arguments

e

matrix, multivariate time series or zoo object.

Value

The average correlation, the test statistic and the p-value.

References

Engle, R.F. and Campos-Martins, S. (2020) Measuring and hedging geopolitical risk. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3685213.

See Also

geovol, ]geovolSim

Examples

# NOT RUN {
set.seed(123)

## Simulate from a GEOVOL model with s.d. 0.5 (default):
eSim <- geovolSim(n = 1500, m = 30)

## Test for GEOVOL:
geovolTest(e = eSim^2-1)
# }