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Spillover (version 0.1.1)

Spillover/Connectedness Index Based on VAR Modelling

Description

A user-friendly tool for estimating both total and directional connectedness spillovers based on Diebold and Yilmaz (2009, 2012). It also provides the user with rolling estimation for total and net indices. User can find both orthogonalized and generalized versions for each kind of measures. See Diebold and Yilmaz (2009, 2012) find them at and .

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Version

Install

install.packages('Spillover')

Monthly Downloads

161

Version

0.1.1

License

GPL-2

Maintainer

Jilber Urbina

Last Published

March 12th, 2024

Functions in Spillover (0.1.1)

O.spillover

Orthogonalized spillover index
dynamic.spillover

dynamnic_spillover is a function for estimating DY directional spillovers.
plotdy

Plot directional spillover index
net

Net spillovers
roll.net

Dynamic Spillover Index
roll.spillover

Dynamic Spillover Index
rol.returns

Two-days Rolling Average Returns
Spillover

Spillover
rol.vol

Two-days Rolling Average Intra-day Volatilities
dy2009

Diebold and Yilmaz (2009) dataset
dy2012

Diebold and Yilmaz (2012) dataset
g.fevd

Generalized Forecast Error Variance Decomposition
G.spillover

Generalized spillover index
stock.prices

Daily Stock Prices
total.dynamic.spillover

Dynamic Spillover Index