[R-SIG-Finance] News impact curves for various GARCH models in the rugarch-package

Johannes Moser jzmoser at gmail.com
Sat Jun 14 19:25:01 CEST 2014


Dear all,

I'm working with the really nice "rugarch"-package and currently have an 
issue with respect to the news impact curves (NIC).

In an attempt to plot several NIC into the same plot I realized that 
while the NIC for the sGARCH, the gjrGARCH and the eGARCH are given with 
respect to the epsilon_{t-1}, the NICs for the submodels of the fGARCH 
model are given in terms of z_{t-1}.

Firstly I am a bit confused since just like the fGARCH model, the eGARCH 
model (as to the eGARCH-model-setup in the vignette) is also given in 
terms of the z_{t-k} , k={1,...,q}.
But nevertheless the NIC of the eGARCH is given in terms of epsilon_{t-1} .
At least this is what the "newsimpact(fit)"-output tells me.
Why is it this way for the eGARCH but not for the fGARCH?

Secondly I'd like to have the NIC of all the different models depending 
on the epsilon_{t-1} for better comparison.
So for the fGARCH case I thought about calculating the epsilon_{t-1} 
values given the z_{t-1} values and the conditional mean and volatility.
Is this a good idea or is there an important reason why the NICs for the 
fGARCH submodels are NOT given this way?

Many thanks and kind regards,
Johannes



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