VFEVD function

Generalized volatility forecast error variance decomposition and volatility impulse response functions

This function provides the volatility impulse responses and the forecast error variance decomposition of DCC-GARCH models.

VFEVD(fit, nfore = 100, standardize = FALSE)

Arguments

• fit: Fitted DCC-GARCH model
• nfore: H-step ahead forecast horizon
• standardize: Boolean value whether GIRF should be standardized

Returns

Get volatility impulse response functions and forecast error variance decomposition

References

Gabauer, D. (2020). Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms. Journal of Forecasting, 39(5), 788-796.

Author(s)

David Gabauer