English, Article edition: NEWSIMPACT: Stata module to compute news impact curve for ARCH models Sune Karlsson

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Bookmark: http://trove.nla.gov.au/version/175762
Physical Description
  • code
Language
  • English

Edition details

Title
  • NEWSIMPACT: Stata module to compute news impact curve for ARCH models
Author
  • Sune Karlsson
Physical Description
  • code
Notes
  • newsimpact is for use after arch. It plots the news impact curve, the response in the conditional variance, sigma^2(t), to an innovation in the standardized error term, z(t-1). When calculating the response in sigma^2(t) historical conditional variances (sigma^2(t-i), i > 0) are set to sigma^2 and historical error terms (z(t-i), i > 1) are set to 1. The default value for sigma^2 is an estimate of the unconditional variance, the mean of the estimated conditional variances. Finally error terms that enter in the conditional variance formula are obtained as e(t) =​ sigma*z(t).
  • ARCH, news impact, conditional variance
  • RePEc:boc:bocode:s456925
Language
  • English
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