GARCH Model on EURUSD
Posted: Thu Sep 10, 2009 7:39 am
I want to test macroeconomics news impacts on EURUSD return and volatility.
i want to show an impact of :
- day with annoucement vs days without
- good news vs bad news
- to compute the News impact Curve...
In order to achieve it i don't know woth data sample i need to consider (see enclosed file .xls) : 1 or 2?
Should add dummy variables to simulate surprises effects ?
Should I consider only return at time of announcement ?
i want to show an impact of :
- day with annoucement vs days without
- good news vs bad news
- to compute the News impact Curve...
In order to achieve it i don't know woth data sample i need to consider (see enclosed file .xls) : 1 or 2?
Should add dummy variables to simulate surprises effects ?
Should I consider only return at time of announcement ?