GARCH - GJR News Impact Curve
by Theodoros Panagiotidis
Dear All,
Please find attached a script that estimates GARCH and GJR models and then
creates a *news impact curve* from both.
Credit to Mery Mertzanidou.
regards
Theo
--
Theodore Panagiotidis
University of Macedonia
Thessaloniki, Greece
& Research Associate HO, LSE <https://www.lse.ac.uk/Hellenic-Observatory>
Linkedin <https://www.linkedin.com/in/theodore-panagiotidis-1371b3169/>
GooglePage
<https://sites.google.com/view/prof-theodore-panagiotidis/bio?authuser=0>
6 days, 4 hours
- 3
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gig matrix - variable
by Theodoros Panagiotidis
Dear All,
I running Gretl 2026c-git (x86_64,rtk3) build date 2026-05-27.
I am running a GARCH model from the menu "GARCH variants".
From the menu "Save bundle content", I am choosing series and then h or
studuhat. This is saved as a matrix in the session icon and not as a
variable, as was the case in the past.
regards
Theo
--
Theodore Panagiotidis
University of Macedonia
Thessaloniki, Greece
& Research Associate HO, LSE <https://www.lse.ac.uk/Hellenic-Observatory>
Linkedin <https://www.linkedin.com/in/theodore-panagiotidis-1371b3169/>
GooglePage
<https://sites.google.com/view/prof-theodore-panagiotidis/bio?authuser=0>
1 month
- 4
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Package updates (May 2026)
by Riccardo (Jack) Lucchetti
Dear all,
this message is to inform the community about the activity in our
function package repository: during the month of May 2026, 1 new package
was added to our repository and 2 packages were updated to a new version.
The new package is
"MAR", by A. Bucci, G. Palomba and M.Tedeschi (Matrix autoregressive models)
The updated packages are
"CUB", by F. Di Iorio, R. Simone and me (CUB mixture model for ordinal data)
"series_calculator", by Sven Schreiber (calculate and add new series to
dataset via the GUI)
The new "MAR" package is best described in the paper presented at the
last Gretl conference in Birmingham that you can find here
<https://link.springer.com/article/10.1007/s00180-025-01681-8>. In a
nutshell, a MAR model is for matrices what a VAR model is for vectors.
Cool stuff.
As for the "CUB" package, you can now perform weighted estimation and
use some new graphic functions. The update to "series_calculator" is
basically a bugfix.
As usual, update and enjoy!
--
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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1 month, 1 week
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