draw "News Impact Curves"

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draw "News Impact Curves"

Postby anwar315a » Sat Jun 09, 2018 10:15 am

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
Kindest regards

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