News Impact Curve

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darkerthanblack
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Joined: Mon Nov 26, 2012 2:13 pm

News Impact Curve

Postby darkerthanblack » Mon Oct 06, 2014 7:42 am

Hi,

I just estimated GARCH, EGARCH, NGARCH, GJR-GARCH and APARCH 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, please?

Thank you!! :D
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