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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.1 |
rolling source/ R- | geovol_1.1.tar.gz |
6.6 KiB |
1.1 |
rolling linux/jammy R-4.5 | geovol_1.1.tar.gz |
42.4 KiB |
1.1 |
latest source/ R- | geovol_1.1.tar.gz |
6.6 KiB |
1.1 |
latest linux/jammy R-4.5 | geovol_1.1.tar.gz |
42.4 KiB |
1.1 |
2026-04-23 source/ R- | geovol_1.1.tar.gz |
6.6 KiB |
1.1 |
2026-04-09 windows/windows R-4.5 | geovol_1.1.zip |
45.1 KiB |