Search found 1 match
- Tue Aug 05, 2014 5:56 pm
- Forum: Program Repository
- Topic: News Impact Curve
- Replies: 1
- Views: 32863
Re: News Impact Curve
I'm not that clear with the steps but this is what I do. 1. Estimate the EGARCH model 2. Procs/Make Garch Variance Series, and name it garch01 3. Procs/Make Residual Series (ordinary), and name it resid1 4. Genr z=resid1/sqr (garch01) -- in this case, " resid1" is "u" and garch01...