Economics at your fingertips  

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
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.
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link) program code (text/plain) help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This software item can be ordered from

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Series data maintained by Christopher F Baum ().

Page updated 2018-03-22
Handle: RePEc:boc:bocode:s456925