[Gretl-users] Re: GARCH News Impact Curve
Am 04.04.2022 um 19:27 schrieb Theodoros Panagiotidis:
Dear all,
has anybody tried to produce news impact curve in from the GARCH
option (GUI) option in gretl and from the GARCH variants (gig 2.24)?
Is the option residuals from the GARCH option in GUI the same as the
standardised residuals in the GARCH variants gig?
Dear Theodoros, I just came across your message from three months ago
when I was searching for GARCH-related threads on the list. Somehow
nobody answered back then, perhaps it had to do with Easter? Or was the
discussion continued somehow in another place?
Anyway, I think this is a useful question and I would like to revive
this thread.
I cannot answer the first question (anybody out there?), but about the
second one: Whether you get standardized residuals to be saved from the
GUI model window depends on your choice when specifying the model, I
think. There's a tickbox for choosing standardized or not.
cheers
sven