This function computes the rolling spillover using the standard VAR estimate. We implement the parallel version for faster processing. The window is of fixed window and is rolled over the data. Interpretation of the other parameters is the same as in the standard computation of spillover.
spilloverRolling(func, data, p, type, window, n.ahead, no.corr, table = F,
cluster = NULL)name of the function that returns FEVD for the estimtate est
variable containing the dataset
lags in the VAR estimate.
which type of VAR to use, see help for VAR from vars package
length of the window to be rolled
how many periods ahead should the FEVD be computed, generally this number should be high enough so that it won't change with additional period
boolean parameter whether the off-diagonal in the covariance matrix should be set to zero
boolean whether the full spillover table should be returned
either NULL for no parallel processing or the variable containing the cluster.
A corresponding spillover value on a given freqeuncy band, ordering of bands corresponds to the ordering of original bounds.