Spillover: Spillover Index Based on VAR Modelling

A user-friendly tool for estimating both total and directional volatility spillovers based on Diebold and Yilmaz (2009, 2012). It also provides the user with rolling estimation for total and net indices. User can find both orthogonalized and generalized versions for each kind of measures. See Diebold and Yilmaz (2009, 2012) find them at <doi:10.1111/j.1468-0297.2008.02208.x> and <doi:10.1016/j.ijforecast.2011.02.006>.

Version: 0.1.0.1
Depends: R (≥ 3.5.0), vars, zoo, fastSOM
Published: 2021-06-17
Author: Jilber Urbina
Maintainer: Jilber Urbina <jurbina at cipadla.com>
License: GPL-2
NeedsCompilation: no
CRAN checks: Spillover results

Documentation:

Reference manual: Spillover.pdf

Downloads:

Package source: Spillover_0.1.0.1.tar.gz
Windows binaries: r-devel: Spillover_0.1.0.1.zip, r-release: Spillover_0.1.0.1.zip, r-oldrel: Spillover_0.1.0.1.zip
macOS binaries: r-release (arm64): Spillover_0.1.0.1.tgz, r-release (x86_64): Spillover_0.1.0.1.tgz, r-oldrel: Spillover_0.1.0.1.tgz
Old sources: Spillover archive

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