geovolObj

scalar with the value of the parameter being estimated. If <code>x</code>=TRUE, <code>par</code> contains the value of the GEOVOL factor at time t. Otherwise, it contains the value of the GEOVOL loading for time series i.

numeric vector with the values of the parameters being fixed during estimation. If <code>x</code>=TRUE, <code>par.fixed</code> contains the values of the estimated GEOVOL loadings from previous iteration. Otherwise, it contains the values of the estimated GEOVOL factor from previous iteration.

par.fixed

numeric vector, time series or <code><a rd-options="" href="/link/zoo?package=geovol&version=1.0" data-mini-rdoc="geovol::zoo">zoo</a></code> containing the cross-section at time t if <code>x</code>=TRUE or the time series i if otherwise.)

logical. If <code>TRUE</code>, it estimates the value of the GEOVOL factor at time t. Otherwise, it estimates the GEOVOL loading for time series i.

integer. If 0, returns a numeric vector with the values of the objective function; if 1 returns the the value of the objective function; if 2, it returns the GEOVOL scaled by the loading of series i, if <code>x</code>=FALSE.

flag

Auxiliary function used in the estimation of the GEOVOL model. Not intended for the average user.

Econometrics

Financial Econometrics

Volatility Factor Models

Multivariate Time Series

Simulation, estimation and inference for the geopolitical volatility (GEOVOL) model of Engle and Campos-Martins (2020) <doi:10.2139/ssrn.3685213>, where GEOVOL is modelled as a latent multiplicative volatility factor with heterogeneous factor loadings. Estimation is carried out as a maximization-maximization procedure, where GEOVOL and the GEOVOL loadings are estimated iteratively until convergence.

Susana Campos-Martins

geovol

Geopolitical Volatility (GEOVOL) Modelling

geovolObj function

numeric vector, time series or <code><a rd-options='' href='zoo'>zoo</a></code> containing the cross-section at time t if <code>x</code>=TRUE or the time series i if otherwise.)

geovolObj: Auxiliary function

Description

Usage

Arguments

Value

See Also