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Volume Event Study Model

Source: R/models.R
VolumeModel.Rd

Model for volume-based event studies. Computes abnormal volume as the difference between observed volume and expected volume from the estimation window mean. The data must contain a firm_volume column (and optionally index_volume for market-adjusted volume).

The existing test statistics infrastructure works on the abnormal_returns column, so this model writes abnormal volume to that same column for compatibility.

See also

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

Super class

ModelBase -> VolumeModel

Public fields

model_name

Name of the model.

log_transform

Whether to log-transform volume. Default TRUE.

Methods

Public methods

VolumeModel$new()

Create a new VolumeModel.

Usage

VolumeModel$new(log_transform = TRUE)

Arguments

log_transform

Whether to log-transform volume before analysis.

VolumeModel$fit()

Fit the volume model. Computes expected volume from estimation window.

Usage

VolumeModel$fit(data_tbl)

Arguments

data_tbl

Data frame or tibble with firm_volume column.

VolumeModel$abnormal_returns()

Calculate abnormal volume.

Usage

VolumeModel$abnormal_returns(data_tbl)

Arguments

data_tbl

Data frame or tibble.

VolumeModel$clone()

The objects of this class are cloneable with this method.

Usage

VolumeModel$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.