Compute Hawkes volatility — hvol • emhawkes

This function computes Hawkes volatility. Only works for bi-variate Hawkes process.

Usage

hvol(
  object,
  horizon = 1,
  inter_arrival = NULL,
  type = NULL,
  mark = NULL,
  dependence = FALSE,
  lambda_component0 = NULL,
  ...
)

# S4 method for class 'hspec'
hvol(
  object,
  horizon = 1,
  inter_arrival = NULL,
  type = NULL,
  mark = NULL,
  dependence = FALSE,
  lambda_component0 = NULL,
  ...
)

Arguments

object: hspec-class
horizon: Time horizon for volatility.
inter_arrival: Inter-arrival times of events which includes inter-arrival for events that occur in all dimensions. Start with zero.
type: A vector of dimensions. Distinguished by numbers, 1, 2, 3, and so on. Start with zero.
mark: A vector of mark (jump) sizes. Start with zero.
dependence: Dependence between mark and previous sigma-algebra.
lambda_component0: A matrix of the starting values of lambda component.
...: Further arguments passed to or from other methods.