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

[Johannes Moser]

After having slept on it for a nightI now think that both the fGARCH 
submodels (I am especially interested in the NAGARCH) and the eGARCH 
model have a NIC that has to be expressed in terms of the z_{t-1} since 
in both cases the effect of epsilon_{t-1} on sigma_t does depend on 
sigma_{t-1} which is of course nonconstant.

But as stated before, the "newsimpact(fit)"-output of the eGARCH model 
tells me that here the NIC was given in terms of epsilon_{t-1}.
Is this a typo?  Should it mean "z_{t-1}"?


Am 2014-06-14 7:25 PM, schrieb Johannes Moser:
> 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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