I am using EVIEWS 10 and I want to draw "News Impact Curves" in EGARCH. Can anybody help. Thank you
I Have followed these steps .
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 is actually the σ.
5. Use Excel to rearrange the series z from small to large, and name a new series "sig"
6. Command line --- series log(s)=α*abs(sig)-γ*(sig)
7. Open sig and s as a group, and then view-graph- xy line. (I would make the y-axis as conditional variance)
In this way, I always find the positive impact is greater, however, in my EGARCH model, γ is negative and there should be a greater negative impact. Is there something wrong with my steps?
Please I need your help
For questions regarding programming in the EViews programming language.
1 post • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 8 guests