Simulation, estimation and testing for geopolitical volatility (GEOVOL) based on the global common volatility model of Engle and Campos-Martins (2023) <doi:10.1016/j.jfineco.2022.09.009>. 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.
| Version: | 1.1 |
| Depends: | R (≥ 3.5.0), zoo |
| Published: | 2025-05-07 |
| DOI: | 10.32614/CRAN.package.geovol |
| Author: | Susana Campos-Martins [aut, cre] |
| Maintainer: | Susana Campos-Martins <scmartins at ucp.pt> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://sites.google.com/site/susanacamposmartins/ |
| NeedsCompilation: | no |
| Materials: | NEWS |
| CRAN checks: | geovol results |
| Reference manual: | geovol.pdf |
| Package source: | geovol_1.1.tar.gz |
| Windows binaries: | r-devel: geovol_1.1.zip, r-release: geovol_1.1.zip, r-oldrel: geovol_1.1.zip |
| macOS binaries: | r-release (arm64): geovol_1.1.tgz, r-oldrel (arm64): geovol_1.1.tgz, r-release (x86_64): geovol_1.1.tgz, r-oldrel (x86_64): geovol_1.1.tgz |
| Old sources: | geovol archive |
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