library("knitr")
## Warning: package 'knitr' was built under R version 4.3.3
library("devtools")
## Loading required package: usethis
## Warning: package 'usethis' was built under R version 4.3.3
library("ConnectednessApproach")
## Registered S3 method overwritten by 'future':
##   method               from      
##   all.equal.connection parallelly
## 
## Please cite as:
##  Gabauer, David (2022). ConnectednessApproach.
##  R package version 1.0.0. https://CRAN.R-project.org/package=ConnectednessApproach

Please use the latest version

#install_github("GabauerDavid/ConnectednessApproach")
data(dy2012)
dca = ConnectednessApproach(dy2012,
                            nlag=1,
                            window.size=200)
## Estimating model
## Computing connectedness measures
## The (generalized) VAR connectedness approach is implemented according to:
##  Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting.
gca = GiniConnectedness(dca)

Dynamic total connectedness

PlotTCI(dca, ca=list(gca$dca_eq, gca$dca_iq), ylim=c(0, 40))

Net total directional connectedness

PlotNET(dca, ca=list(gca$dca_eq, gca$dca_iq))

TO total directional connectedness

PlotTO(dca, ca=list(gca$dca_eq, gca$dca_iq))

FROM total directional connectedness

PlotFROM(dca, ca=list(gca$dca_eq, gca$dca_iq))