Mary Mertzanidou 1.0 2026-06-27 News Impact Curves for GARCH and GJR-GARCH ts finance volatility nic_gig: News Impact Curves for GARCH(1,1) and GJR-GARCH(1,1) Implements the analytical NIC formulas from: Engle, R.F. and Ng, V.K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48(5), 1749-1778. Both models are estimated via the gig package. This package provides one public function: nic_plot_from_gig(mod_garch, mod_gjr) Takes two gig bundles (GARCH type 1 and GJR type 3) and plots both News Impact Curves on the same graph. NIC formulas (Engle and Ng, 1993): GARCH: h(e) = A + alpha * e^2 GJR (e >= 0): h(e) = A + alpha * e^2 GJR (e < 0): h(e) = A + (alpha + gamma) * e^2 where A = omega + beta * hbar and hbar = omega / (1 - alpha - beta) References: Engle, R.F. and Ng, V.K. (1993). Journal of Finance, 48(5), 1749-1778. GARCH(1,1) bundle from gig (type 1) GJR-GARCH(1,1) bundle from gig (type 3) include yahoo_get.gfn include gig.gfn include nic_gig.gfn nulldata 11200 setobs 5 1985-02-01 --time-series StockPrices = yahoo_price("^NDX", 0, 0) Stock = interpol(StockPrices) StockReturns = ldiff(Stock) smpl +1 ; bundle mod_g = gig_setup(StockReturns, 1, const, null, 1) gig_estimate(&mod_g, 0) bundle mod_gjr = gig_setup(StockReturns, 3, const, null, 1) gig_estimate(&mod_gjr, 0) # Plot NICs nic_plot_from_gig(mod_g, mod_gjr)