VFEVD

This function provides the volatility impulse responses and the forecast error variance decomposition of DCC-GARCH models.

The estimation of static and dynamic connectedness measures is created in a modular and user-friendly way. Besides, the time domain connectedness approaches, this package further allows to estimate the frequency connectedness approach, the joint spillover index and the extended joint connectedness approach. In addition, all connectedness frameworks can be based upon orthogonalized and generalized VAR, QVAR, LASSO VAR, Ridge VAR, Elastic Net VAR and TVP-VAR models. Furthermore, the package includes the conditional, decomposed and partial connectedness measures as well as the pairwise connectedness index, influence index and corrected total connectedness index. Finally, a battery of datasets are available allowing to replicate a variety of connectedness papers.

David Gabauer

ConnectednessApproach

Connectedness Approach

VFEVD function

<dl><dt>fit</dt>
<dd>Fitted DCC-GARCH model</dd>
<dt>nfore</dt>
<dd>H-step ahead forecast horizon</dd>
<dt>standardize</dt>
<dd>Boolean value whether GIRF should be standardized</dd></dl>

Arguments

Author

Generalized volatility forecast error variance decomposition and volatility impulse response functions — VFEVD

<dl>

<dt>fit</dt>
<dd>Fitted DCC-GARCH model</dd>


<dt>nfore</dt>
<dd>H-step ahead forecast horizon</dd>


<dt>standardize</dt>
<dd>Boolean value whether GIRF should be standardized</dd>

</dl>

VFEVD: Generalized volatility forecast error variance decomposition and volatility impulse response functions

Description

Usage

Value

Arguments

Author

References