geovol: Geopolitical Volatility (GEOVOL) Modelling

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

Documentation:

Reference manual:

geovol.pdf

Downloads:

Package source:	geovol_1.1.tar.gz
Windows binaries:	r-devel: not available, r-release: not available, r-oldrel: not available
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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