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

[alexios ghalanos]

No, it doesn't "have to be" expressed in that way...but instead of
sleeping on it and writing ANOTHER email to this list before your first
one was answered, you could perhaps have looked at the source code, seen
how it was done, adjusted what you want for your own purpose or if you
found something which merited serious rethink, suggest a patch to the
developer.

-Alexios


On 15/06/2014 09:53, Johannes Moser wrote:
> 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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