[Gretl-users] Re: GARCH News Impact Curve
On Wed, 13 Jul 2022, Sven Schreiber wrote:
I cannot answer the first question (anybody out there?),
At the moment, the news impact curve cannot be drawn automatically. It
would be nice if somebody stepped in to write a function package for
doing that.
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.
That's true if you use the built-in GARCH estimator. If you use gig
instead, the resulting bundle contains both the raw residuals (as "uhat")
and the standardised ones (under "stduhat"). For example:
<hansl>
set verbose off
include gig.gfn
open b-g.gdt --quiet
mod = gig_setup(Y, 1)
gig_estimate(&mod)
series uhat = mod.uhat
series h = mod.h
series std = mod.stduhat
</hansl>
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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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