[R-SIG-Finance] News impact curves for various GARCH models in the rugarch-package
aschmid1
aschmid1 at stevens.edu
Sun Jun 15 15:58:31 CEST 2014
For those interested in news impact, I actually implemented a
rugarch-based model for analysis of macroeconomic announcements:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2364077
Regards, Alec
On 06/15/2014 4:53 AM, 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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