Volatility Event Study Model

Model for volatility-based event studies. Computes abnormal volatility as the ratio of event-window squared returns to estimation-window variance. The abnormal measure is written to the abnormal_returns column for compatibility with existing test statistics.

See also

Other eventstudy-models: BHARModel, Carhart4FactorModel, ComparisonPeriodMeanAdjustedModel, DCCGARCHModel, FamaFrench3FactorModel, FamaFrench5FactorModel, GARCHModel, LinearFactorModel, LogReturn, MarketAdjustedModel, MarketModel, ModelBase, ReturnCalculation, RollingWindowModel, SimpleReturn, VolumeModel

Super class

ModelBase -> VolatilityModel

Public fields

model_name

Name of the model.

Methods

Public methods

• VolatilityModel$fit()

• VolatilityModel$abnormal_returns()

• VolatilityModel$clone()

---

VolatilityModel$fit()

Fit the volatility model. Estimates expected variance from estimation window.

Usage

VolatilityModel$fit(data_tbl)

Arguments

data_tbl

Data frame or tibble.

---

VolatilityModel$abnormal_returns()

Calculate abnormal volatility (squared returns / expected variance - 1).

Usage

VolatilityModel$abnormal_returns(data_tbl)

Arguments

data_tbl

Data frame or tibble.

---

VolatilityModel$clone()

The objects of this class are cloneable with this method.

Usage

VolatilityModel$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.