dca = ConnectednessApproach(lw2021,
nlag=2,
nfore=30,
model="VAR",
connectedness="Joint")
## Estimating model
## Computing connectedness measures
## The VAR joint connectedness approach is implemented according to:
## Lastrapes, W. D., & Wiesen, T. F. (2021). The joint spillover index. Economic Modelling, 94, 681-691.
| energy |
27.74 |
13.90 |
11.72 |
8.85 |
7.13 |
8.60 |
7.70 |
5.24 |
9.13 |
55.91 |
| basic.materials |
10.62 |
21.01 |
15.07 |
12.44 |
8.03 |
11.00 |
7.98 |
7.23 |
6.63 |
76.95 |
| industrials |
7.75 |
13.05 |
18.20 |
14.29 |
8.62 |
12.47 |
9.55 |
9.81 |
6.27 |
88.48 |
| cyclical.consumer |
6.23 |
11.43 |
15.16 |
19.31 |
8.63 |
12.69 |
9.75 |
11.02 |
5.77 |
83.77 |
| non.cyclical.consumer |
6.52 |
9.58 |
11.80 |
11.18 |
24.80 |
9.65 |
12.56 |
5.30 |
8.62 |
62.42 |
| financial |
6.76 |
11.29 |
14.72 |
14.12 |
8.31 |
21.56 |
9.14 |
8.08 |
6.03 |
71.71 |
| healthcare |
6.56 |
8.91 |
12.31 |
11.85 |
11.87 |
10.00 |
23.63 |
8.08 |
6.78 |
63.11 |
| technology |
5.13 |
9.21 |
14.45 |
15.26 |
5.45 |
10.10 |
9.25 |
26.80 |
4.36 |
62.02 |
| utilities |
9.76 |
9.33 |
10.21 |
8.84 |
10.30 |
8.38 |
8.58 |
4.84 |
29.76 |
46.53 |
| TO |
52.75 |
77.06 |
93.74 |
86.07 |
60.74 |
73.68 |
66.23 |
52.99 |
47.65 |
610.91 |
| Inc.Own |
87.07 |
107.69 |
123.65 |
116.14 |
93.12 |
104.44 |
98.13 |
86.40 |
83.36 |
TCI |
| NET |
-3.16 |
0.12 |
5.25 |
2.30 |
-1.69 |
1.97 |
3.12 |
-9.03 |
1.12 |
67.88 |
dca = ConnectednessApproach(lw2021,
nlag=2,
nfore=30,
window.size=200,
model="VAR",
connectedness="Joint")
## Estimating model
## Computing connectedness measures
## The VAR joint connectedness approach is implemented according to:
## Lastrapes, W. D., & Wiesen, T. F. (2021). The joint spillover index. Economic Modelling, 94, 681-691.
PlotTCI(dca, ylim=c(40,100))
PlotNET(dca, ylim=c(-40,30))
PlotTO(dca, ylim=c(0,105))
PlotFROM(dca, ylim=c(0,105))
