- data = loadacg2020("../data/acg2020.csv");
- dca = connectedness_approach(data, ...
- 'nlag', 1, ...
- 'nfore', 12, ...
- 'model', 'TVP-VAR', ...
- 'kappa1', 0.99, ...
- 'kappa2', 0.96, ...
- 'prior', 'MinnesotaPrior', ...
- 'gamma', 0.1);
- disp(dca.res);
- EUR GBP JPY CHF FROM
- ______ ______ _______ ______ ______
- EUR 41.229 18.719 9.2359 30.817 58.771
- GBP 24.238 49.097 6.2197 20.445 50.903
- JPY 12.948 7.9669 62.402 16.683 37.598
- CHF 30.611 16.427 11.519 41.442 58.558
- TO 67.797 43.113 26.975 67.945 205.83
- Inc_Own 109.03 92.21 89.377 109.39 NaN
- NET 9.026 -7.79 -10.623 9.3869 68.61
- NPT 2 1 0 3 51.457
- plot_TCI(dca);
- plot_TO(dca);
- plot_NET(dca);
- plot_NPDC(dca);