bvhar (version 2.2.2)

spillover: h-step ahead Normalized Spillover

Description

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

Usage

spillover(object, n_ahead = 10L, ...)
# S3 method for bvharspillover
print(x, digits = max(3L, getOption("digits") - 3L), ...)
# S3 method for bvharspillover
knit_print(x, ...)
# S3 method for olsmod
spillover(object, n_ahead = 10L, ...)
# S3 method for normaliw
spillover(
  object,
  n_ahead = 10L,
  num_iter = 5000L,
  num_burn = floor(num_iter/2),
  thinning = 1L,
  ...
)
# S3 method for bvarldlt
spillover(object, n_ahead = 10L, level = 0.05, sparse = FALSE, ...)
# S3 method for bvharldlt
spillover(object, n_ahead = 10L, level = 0.05, sparse = FALSE, ...)

Arguments

object

Model object

n_ahead

step to forecast. By default, 10.

...

not used

x

bvharspillover object

digits

digit option to print

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.