Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms

data("g2020")
dca = ConnectednessApproach(g2020,
                            nfore=100,
                            corrected=TRUE,
                            model="DCC-GARCH")

## Estimating model

## Computing connectedness measures

## The DCC-GARCH connectedness approach is implemented according to:
##  Gabauer, D. (2020). Gabauer, D. (2020). Volatility impulse response analysis for DCC-GARCH models: The role of volatility transmission mechanisms. Journal of Forecasting, 39(5), 788-796.

kable(dca$TABLE)

	EUR	GBP	CHF	JPY	FROM
EUR	48.04	14.76	31.10	6.10	51.96
GBP	26.23	50.31	19.97	3.49	49.69
CHF	27.66	9.99	52.94	9.41	47.06
JPY	9.11	2.89	15.82	72.18	27.82
TO	63.00	27.64	66.89	19.00	176.54
Inc.Own	111.04	77.95	119.83	91.18	cTCI/TCI
NET	11.04	-22.05	19.83	-8.82	58.85/44.13
NPT	2.00	0.00	3.00	1.00

PlotTCI(dca, ylim=c(40,80))

PlotNET(dca, ylim=c(-100,100))

PlotTO(dca, ylim=c(0,120))

PlotFROM(dca, ylim=c(0,120))

PlotNPDC(dca,ylim=c(-40,40))