NEWSIMPACT: Stata module to compute news impact curve for ARCH models

Sune Karlsson ()

Statistical Software Components from Boston College Department of Economics

Abstract: 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).

Language: Stata
Requires: Stata version 9
Keywords: ARCH; news impact; conditional variance (search for similar items in EconPapers)
Date: 2008-04-07, Revised 2021-04-26
Note: This module should be installed from within Stata by typing "ssc install newsimpact". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). 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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