Description Usage Arguments Value Author(s) References See Also Examples

Compute the GEOVOL test statistic for examining the null hypothesis that the average correlation of the squared volatility standardized residuals (which should be uncorrelated) is zero against the alternative that it is positive.

1 | ```
geovolTest(e)
``` |

`e` |
matrix, multivariate time series or |

The average correlation, the test statistic and the p-value.

Susana Campos-Martins

Engle, R.F. and Campos-Martins, S. (2020) Measuring and hedging geopolitical risk. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3685213.

1 2 3 4 5 6 7 | ```
set.seed(123)
## Simulate from a GEOVOL model with s.d. 0.5 (default):
eSim <- geovolSim(n = 1500, m = 30)
## Test for GEOVOL:
geovolTest(e = eSim^2-1)
``` |

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