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

Very very nice, thanks (and also thanks to Mery).

It would be quite cool to 

1. modify the script so the garch model is estimated by using gig for comparability
2. package this code as a function package that one can use on top of gig, possibly including more models.

Just sayin'... 😉

-------------------------------------------------------
  Riccardo (Jack) Lucchetti
  Dipartimento di Scienze Economiche e Sociali (DiSES)

  Università Politecnica delle Marche
  (formerly known as Università di Ancona)

  r.lucchetti@univpm.it
  http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------