NEWSIMPACT: Stata module to compute news impact curve for ARCH models
Sune Karlsson ()
Statistical Software Components from Boston College Department of Economics
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).
Requires: Stata version 9
Keywords: ARCH; news impact; conditional variance (search for similar items in EconPapers)
Note: This module should be installed from within Stata by typing "ssc install newsimpact". Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/n/newsimpact.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/newsimpact.hlp help file (text/plain)
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s456925
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