news impact curve for TARCH(1,1)-Modell

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Lambda
Posts: 1
Joined: Mon Nov 04, 2013 2:07 pm

news impact curve for TARCH(1,1)-Modell

Postby Lambda » Mon Nov 04, 2013 2:25 pm

Hey Everybody,

can somebody explain me how i have to alter the volatilityspecification to plot the news impact curve for a TARCH(1,1)-Modell?!
i dont know how to implement the leverageparameter. do i have to code the dummyvariable!=??
Help would be really really appreciated ( using eviews 7)

'First observations of standardized error and conditional variance
nic(1,1)=!lb
nic(1,2)=exp(c(1) + c(2)*@abs(!lb-!s) + c(3)*log(!condmean))

'Generate the components, columns being the standardized error and conditional variance, respectively.
for !i=2 to !np
nic(!i,1) = !lb+(!i-1)*!s
nic(!i,2) = exp(c(1) + c(2)*@abs(nic(!i-1,1)) + c(3)*log(!condmean))

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