[Gretl-users] Re: GARCH - GJR News Impact Curve
On 04/07/2026 17:48, Theodoros Panagiotidis wrote:
Dear Jack,
Please find attached the revised script that uses gig.
Please also find attached the gfn file that can take bundles of
estimated GARCH (1,1) and GJR(1,1) models and produce News Impact Curves.
Credit to Mery Mertzanidou.
Thanks, Theo. I have a few suggestions. I'll send you a private email.
--
-------------------------------------------------------
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
-------------------------------------------------------
Attachments:
- attachment.htm (text/html — 2.0 KB)