geovol

cranv1.1

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 i

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https://CRAN.R-project.org/package=geovol
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First published · 2025-05-07 13:22:17

Last updated · 2025-05-07T11:30:09+00:00