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