News Impact Curves

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fraN
Posts: 4
Joined: Fri Dec 19, 2008 5:35 am

News Impact Curves

Postby fraN » Wed Feb 25, 2009 9:59 am

Hi,

I just estimated both GARCH and EGARCH models. I would like to get News Impact Curves for daily volatility for each model.
Could anyone suggest me what to do in order to get these curves and plotting them in the same graph, please?
I am currently using EViews5 version.

Thank you,

Francesco
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h-godarzi
Posts: 17
Joined: Tue Apr 21, 2009 12:40 am

Re: News Impact Curves

Postby h-godarzi » Thu May 14, 2009 1:18 pm

dear fransisco
if you have found your answe please send it me also.
best regard
hojat
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h-godarzi
Posts: 17
Joined: Tue Apr 21, 2009 12:40 am

Re: News Impact Curves

Postby h-godarzi » Fri May 15, 2009 9:24 am

dear fran
i hope the following linke can helpe you.
regards
hojat
http://perso.fundp.ac.be/~mpetijea/MyEv ... Eviews.htm
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