[R-SIG-Finance] News impact curve?

[Matthieu Stigler]

Excellent! Exactly what I was looking for... thanks!! Are you planing to 
put your excellent rgarch package on CRAN once? Hopefully!

So a small example for people in the list in case interested in the answer:

library(rgarch)
data(dmbp)
spec_garch_norm<-ugarchspec(variance.model = list(model = "sGARCH", 
garchOrder = c(1, 1)))
garch_norm<-ugarchfit(dmbp[,1], 
spec_garch_norm,solver.control=list(trace=FALSE))
spec_garch_gjr<-ugarchspec(variance.model = list(model = "gjrGARCH", 
garchOrder = c(1, 1)))
fit_gjr = ugarchfit(dmbp[,1],spec_garch_gjr)


ni=newsimpact(z = NULL, garch_norm)
ni2=newsimpact(z = NULL, fit_gjr)
plot(ni$zx, ni$zy, ylab=ni$yexpr, xlab=ni$xexpr, type="l", main = "News 
Impact Curve")
lines(ni2$zx, ni2$zy, lty=2, col=2)
legend("topleft", leg=c("GARCH", "gjr-GARCH"), lty=c(1,2), col=1:2, 
bg="white")

Thanks!
Le 30. 08. 10 15:09, alexios a écrit :
> The function 'newsimpact' in the rgarch package will return the values 
> needed to plot the this, given a fitted object (alternatively use plot 
> on the fitted object and choose option 12).
>
> Regards,
>
> Alexios Ghalanos
>
> On 8/30/2010 1:51 PM, Matthieu Stigler wrote:
>> Hi
>>
>> 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?
>>
>> Thanks!
>>
>> Matthieu
>>
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>