[Gretl-users] Re: GARCH - GJR News Impact Curve
Am 03.06.2026 um 16:37 schrieb 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
Hi and thanks, it would be useful to know in how far this differs from
the stuff in the "GJR-garchm" contributed package on the package server.
This is an honest question, I haven't tried to cross-check, and I'm not
usually working with those models.
thanks
sven
Attachments:
- attachment.htm (text/html — 2.0 KB)