dynamic_spillover: Dynamic Spillover

Description

This function gives connectedness table with h-step ahead normalized spillover index (a.k.a. variance shares).

Usage

dynamic_spillover(object, n_ahead = 10L, ...)
# S3 method for bvhardynsp
print(x, digits = max(3L, getOption("digits") - 3L), ...)
# S3 method for bvhardynsp
knit_print(x, ...)
# S3 method for olsmod
dynamic_spillover(object, n_ahead = 10L, window, num_thread = 1, ...)
# S3 method for normaliw
dynamic_spillover(
  object,
  n_ahead = 10L,
  window,
  num_iter = 1000L,
  num_burn = floor(num_iter/2),
  thinning = 1,
  num_thread = 1,
  ...
)
# S3 method for ldltmod
dynamic_spillover(
  object,
  n_ahead = 10L,
  window,
  level = 0.05,
  sparse = FALSE,
  num_thread = 1,
  ...
)
# S3 method for svmod
dynamic_spillover(
  object,
  n_ahead = 10L,
  level = 0.05,
  sparse = FALSE,
  num_thread = 1,
  ...
)

Arguments

object: Model object
n_ahead: step to forecast. By default, 10.
...: not used
x: bvhardynsp object
digits: digit option to print
window: Window size
num_thread: Number of threads
num_iter: Number to sample MNIW distribution
num_burn: Number of burn-in
thinning: Thinning every thinning-th iteration
level: Specify alpha of confidence interval level 100(1 - alpha) percentage. By default, .05.
sparse: Apply restriction. By default, FALSE.

References

Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of forecasting, 28(1), 57-66.