[R-SIG-Finance] News impact curve?

Matthieu Stigler matthieu.stigler at gmail.com
Mon Aug 30 14:51:55 CEST 2010


I searched for a function in R to compute the news impact curve of a 
GARCH (showing the effect on h_{t-1} of a positive/negative shock of 
e_t), but did not find...

Before I do it manually... is anyone aware of such feature in R?



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